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 2018-12-04 118.93 95.38 129.16 146.35 636.45 122.24 6.67
GBP/EUR 2018-12-04 14.00 13.35 12.23 12.60 18.37 13.99 1.50
USD/EUR 2018-12-04 15.01 13.07 10.45 10.44 15.45 14.75 1.48
JPY/EUR 2018-12-04 15.95 14.32 9.374 11.46 16.44 16.25 1.75
CHF/EUR 2018-12-04 9.559 13.82 7.219 6.583 11.99 9.490 2.10
STOXX50E 2018-12-04 32.19 26.04 18.97 19.75 25.57 30.87 1.70
FTSE 2018-12-04 25.57 20.76 17.03 17.46 23.51 25.59 1.50
SP-500 2018-12-04 25.48 19.38 29.35 27.29 45.03 25.47 2.32
Nikkei 225 2018-12-04 39.71 29.66 27.60 22.36 35.88 38.73 1.78

ES

Forecast date HS MA EWMA GARCH tGARCH EVT Model risk
Bitcoin 2018-12-04 145.95 109.27 147.97 167.66 1152.40 145.36 10.55
GBP/EUR 2018-12-04 17.59 15.30 14.01 14.44 23.82 18.06 1.70
USD/EUR 2018-12-04 21.10 14.98 11.97 11.96 19.96 22.64 1.89
JPY/EUR 2018-12-04 24.11 16.40 10.74 13.13 21.26 23.97 2.25
CHF/EUR 2018-12-04 26.19 15.83 8.271 7.542 16.53 19.20 3.47
STOXX50E 2018-12-04 43.24 29.83 21.74 22.62 32.34 46.59 2.14
FTSE 2018-12-04 30.88 23.79 19.51 20.01 29.91 31.50 1.61
SP-500 2018-12-04 33.55 22.21 33.63 31.27 60.81 35.00 2.74
Nikkei 225 2018-12-04 50.59 33.98 31.63 25.61 49.28 54.76 2.14

Probability (in years) of a 5% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2018-12-04 0.0359 0.0218 0.0187 0.0117 0.0015
GBP/EUR 2018-12-04 2.7e+15 4.2e+18 2.9e+17 45.17 113.75
USD/EUR 2018-12-04 1.4e+16 9e+25 1.1e+26 125.33 13.31
JPY/EUR 2018-12-04 1.8e+13 3.4e+32 2.5e+21 87.14 13.12
CHF/EUR 2018-12-04 2.1e+14 3.8e+55 1.1e+67 98.13 10.69
STOXX50E 2018-12-04 1009.64 9.2e+06 2.1e+06 11.66 1.671
FTSE 2018-12-04 3.8e+05 9.3e+08 2.9e+08 16.98 14.21
SP-500 2018-12-04 4.1e+06 108.01 394.29 0.581 4.761
Nikkei 225 2018-12-04 91.12 318.39 4.1e+04 1.300 0.957

Probability (in years) of a 20% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2018-12-04 7467.01 25.37 5.418 0.0425 8.835
GBP/EUR 2018-12-04 1.5e+263 3.3e+295 9.2e+04 5.3e+04
USD/EUR 2018-12-04 3.9e+274 3.2e+05 713.06
JPY/EUR 2018-12-04 8e+228 2.1e+05 971.36
CHF/EUR 2018-12-04 5.1e+245 3.1e+04 165.78
STOXX50E 2018-12-04 3.9e+68 9.6e+129 8.7e+119 7.6e+04 101.77
FTSE 2018-12-04 2.6e+108 2.8e+161 3.8e+153 8.1e+04 2.3e+04
SP-500 2018-12-04 3e+124 5.8e+53 2.2e+62 195.01 773.10
Nikkei 225 2018-12-04 4.4e+52 8.2e+60 2.4e+93 352.71 109.01

Expected worst drop in 5 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2018-12-04 -12.94% -17.52% -19.85% -100.00% -18.27%
GBP/EUR 2018-12-04 -1.811% -1.659% -1.710% -3.248% -2.472%
USD/EUR 2018-12-04 -1.774% -1.418% -1.416% -2.712% -3.555%
JPY/EUR 2018-12-04 -1.942% -1.272% -1.554% -2.891% -3.665%
CHF/EUR 2018-12-04 -1.875% -0.979% -0.893% -2.388% -3.404%
STOXX50E 2018-12-04 -3.532% -2.574% -2.679% -4.299% -7.237%
FTSE 2018-12-04 -2.816% -2.311% -2.369% -4.001% -4.110%
SP-500 2018-12-04 -2.630% -3.982% -3.703% -8.625% -5.067%
Nikkei 225 2018-12-04 -4.023% -3.745% -3.033% -7.095% -8.113%

Expected worst drop in 25 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2018-12-04 -14.75% -19.98% -22.64% -100.00% -23.60%
GBP/EUR 2018-12-04 -2.066% -1.892% -1.950% -4.466% -3.553%
USD/EUR 2018-12-04 -2.022% -1.617% -1.614% -3.709% -6.227%
JPY/EUR 2018-12-04 -2.214% -1.450% -1.772% -3.959% -6.154%
CHF/EUR 2018-12-04 -2.138% -1.117% -1.018% -3.576% -7.683%
STOXX50E 2018-12-04 -4.028% -2.935% -3.054% -5.698% -12.46%
FTSE 2018-12-04 -3.211% -2.635% -2.701% -5.352% -5.559%
SP-500 2018-12-04 -2.999% -4.540% -4.222% -12.56% -7.855%
Nikkei 225 2018-12-04 -4.588% -4.270% -3.458% -10.57% -13.00%

© All rights reserved, Jon Danielsson, 2018