Daily risk forecast

One day ahead risk forecasts for a range of assets and models. The forecasts are updated daily as the closing prices become available. VaR and ES of a portfolio worth 1000 in the native currency.

The models are estimated with code from Financial Risk Forecasting. The two risk measures that are estimated are Value-at-Risk (VaR) and expected shortfall (ES), both at the 99% probability, described here, while the statistical models used in the forecasting can be seen here.

There are several tables, first two showing VaR and ES, along with model risk calculated by the risk ratio method. The last show the implied probability of a 5% and 20% drop and the expected worst drop in 5 and 25 years. We cannot calculate the probability for HS and it is not relevant to calculate model risk in this case.

VaR

Forecast date HS MA EWMA GARCH tGARCH EVT Model risk
Bitcoin 2019-06-19 116.53 98.20 88.08 80.37 663.14 120.77 8.25
GBP/EUR 2019-06-19 13.19 12.73 6.775 8.037 12.00 13.06 1.95
USD/EUR 2019-06-19 11.72 11.59 5.863 7.244 11.62 12.38 2.11
JPY/EUR 2019-06-19 15.95 13.45 8.055 10.09 14.88 15.33 1.98
CHF/EUR 2019-06-19 7.453 6.711 5.617 6.067 7.636 7.209 1.36
STOXX50E 2019-06-19 32.19 25.86 16.21 19.99 27.56 30.79 1.99
FTSE 2019-06-19 25.82 20.57 13.78 14.31 18.70 24.95 1.87
SP-500 2019-06-19 27.49 20.20 18.66 15.40 29.66 26.85 1.93
Nikkei 225 2019-06-19 40.39 29.59 18.53 22.19 37.78 39.50 2.18

ES

Forecast date HS MA EWMA GARCH tGARCH EVT Model risk
Bitcoin 2019-06-19 145.15 112.51 100.91 92.08 1284.16 144.30 13.95
GBP/EUR 2019-06-19 16.04 14.58 7.762 9.208 15.15 16.62 2.14
USD/EUR 2019-06-19 16.89 13.28 6.717 8.299 14.57 16.92 2.52
JPY/EUR 2019-06-19 22.38 15.40 9.228 11.56 19.05 21.52 2.43
CHF/EUR 2019-06-19 9.964 7.689 6.435 6.951 9.562 10.18 1.58
STOXX50E 2019-06-19 43.24 29.63 18.57 22.91 35.77 46.21 2.49
FTSE 2019-06-19 31.52 23.57 15.78 16.39 23.51 35.56 2.25
SP-500 2019-06-19 34.44 23.14 21.38 17.65 41.12 37.11 2.33
Nikkei 225 2019-06-19 51.76 33.90 21.23 25.42 53.47 57.27 2.70

Probability (in years) of a 5% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2019-06-19 0.0339 0.0429 0.0541 0.0120 0.0018
GBP/EUR 2019-06-19 1.3e+17 1.8e+63 4.4e+44 1331.23 212.56
USD/EUR 2019-06-19 7.6e+20 5.9e+84 1.6e+55 2390.16 72.29
JPY/EUR 2019-06-19 1.6e+15 2.8e+44 8.2e+27 200.22 24.31
CHF/EUR 2019-06-19 2.9e+64 2.7e+92 1.3e+79 5.1e+04 302.76
STOXX50E 2019-06-19 1164.26 1.1e+10 1.3e+06 5.608 1.710
FTSE 2019-06-19 5.1e+05 2.6e+14 1.8e+13 89.76 4.114
SP-500 2019-06-19 9.4e+05 1.8e+07 1.8e+11 2.550 3.792
Nikkei 225 2019-06-19 94.54 2.3e+07 5.1e+04 1.002 0.855

Probability (in years) of a 20% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2019-06-19 3703.71 6.3e+04 1.1e+06 0.0442 8.819
GBP/EUR 2019-06-19 6.4e+289 1.4e+07 1.4e+05
USD/EUR 2019-06-19 4.3e+07 1.3e+04
JPY/EUR 2019-06-19 3.6e+259 8e+05 2998.54
CHF/EUR 2019-06-19 1.1e+09 3.5e+04
STOXX50E 2019-06-19 3.5e+69 2.6e+178 9.3e+116 9034.77 108.98
FTSE 2019-06-19 2.8e+110 1.5e+247 1.2e+229 1.1e+06 429.71
SP-500 2019-06-19 3.5e+114 2.7e+134 3.7e+197 616.34 570.72
Nikkei 225 2019-06-19 7.7e+52 1.7e+136 6.7e+94 156.89 74.54

Expected worst drop in 5 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2019-06-19 -13.32% -11.95% -10.90% -100.00% -18.23%
GBP/EUR 2019-06-19 -1.726% -0.919% -1.090% -2.011% -2.242%
USD/EUR 2019-06-19 -1.572% -0.795% -0.983% -1.919% -2.440%
JPY/EUR 2019-06-19 -1.824% -1.093% -1.369% -2.566% -3.171%
CHF/EUR 2019-06-19 -0.910% -0.762% -0.823% -1.258% -1.508%
STOXX50E 2019-06-19 -3.508% -2.199% -2.712% -4.884% -7.152%
FTSE 2019-06-19 -2.791% -1.869% -1.941% -3.104% -5.300%
SP-500 2019-06-19 -2.741% -2.531% -2.090% -5.970% -5.397%
Nikkei 225 2019-06-19 -4.014% -2.514% -3.010% -7.897% -8.649%

Expected worst drop in 25 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2019-06-19 -15.19% -13.63% -12.43% -100.00% -23.70%
GBP/EUR 2019-06-19 -1.969% -1.048% -1.243% -2.659% -3.163%
USD/EUR 2019-06-19 -1.793% -0.907% -1.121% -2.512% -3.759%
JPY/EUR 2019-06-19 -2.080% -1.246% -1.561% -3.466% -5.041%
CHF/EUR 2019-06-19 -1.038% -0.869% -0.938% -1.643% -2.413%
STOXX50E 2019-06-19 -4.000% -2.507% -3.093% -6.725% -12.24%
FTSE 2019-06-19 -3.182% -2.131% -2.213% -4.078% -8.564%
SP-500 2019-06-19 -3.125% -2.886% -2.383% -9.009% -8.422%
Nikkei 225 2019-06-19 -4.577% -2.867% -3.432% -12.24% -14.25%

© All rights reserved, Jon Danielsson, 2019