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 2018-10-20 116.53 93.42 48.89 59.44 147.76 119.33 3.02
FTSE 2018-10-22 25.58 20.87 18.55 19.72 26.77 25.69 1.44
SP-500 2018-10-22 25.28 18.77 24.58 28.57 49.31 25.00 2.63
USD/EUR 2018-10-22 15.01 13.14 9.724 10.60 15.76 14.87 1.62
JPY/EUR 2018-10-22 15.95 14.41 10.27 11.98 18.79 16.63 1.83
GBP/EUR 2018-10-22 14.00 13.30 8.008 9.448 14.24 13.99 1.78
CHF/EUR 2018-10-22 9.559 13.77 8.401 13.67 12.72 9.490 1.64

ES

Forecast date HS MA EWMA GARCH tGARCH EVT Model risk
Bitcoin 2018-10-20 142.76 107.03 56.01 68.10 236.99 144.10 4.23
FTSE 2018-10-22 30.88 23.91 21.26 22.59 34.04 31.83 1.60
SP-500 2018-10-22 32.95 21.51 28.16 32.73 67.22 34.05 3.13
USD/EUR 2018-10-22 21.10 15.05 11.14 12.14 20.49 22.65 2.03
JPY/EUR 2018-10-22 24.11 16.51 11.77 13.72 24.81 22.63 2.11
GBP/EUR 2018-10-22 17.59 15.23 9.174 10.82 18.35 18.06 2.00
CHF/EUR 2018-10-22 26.19 15.78 9.625 15.66 17.81 19.20 2.72

Probability (in years) of a 5% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2018-10-20 0.0375 0.461 0.159 0.0388 0.0025
FTSE 2018-10-22 3.2e+05 2.2e+07 2.2e+06 8.321 12.61
SP-500 2018-10-22 1.4e+07 3603.55 170.98 0.420 5.425
USD/EUR 2018-10-22 9.4e+15 1.4e+30 1.6e+25 94.72 13.65
JPY/EUR 2018-10-22 1.2e+13 7.9e+26 3e+19 28.71 25.39
GBP/EUR 2018-10-22 3.7e+15 9.6e+44 1e+32 213.85 113.75
CHF/EUR 2018-10-22 2.6e+14 5.9e+40 4.5e+14 60.09 10.69

Probability (in years) of a 20% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2018-10-20 1.3e+04 4.5e+18 1.6e+12 0.876 8.071
FTSE 2018-10-22 1.8e+107 8.9e+135 1.7e+120 3.7e+04 1.7e+04
SP-500 2018-10-22 6.1e+132 1.2e+77 6.3e+56 107.53 996.23
USD/EUR 2018-10-22 7e+271 1.7e+05 771.32
JPY/EUR 2018-10-22 7.4e+225 2.8e+04 4722.85
GBP/EUR 2018-10-22 3e+265 6.3e+05 5.3e+04
CHF/EUR 2018-10-22 2.2e+247 1e+251 1.4e+04 165.78

Expected worst drop in 5 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2018-10-20 -12.67% -6.633% -8.063% -38.22% -18.42%
FTSE 2018-10-22 -2.831% -2.517% -2.675% -4.551% -4.183%
SP-500 2018-10-22 -2.547% -3.334% -3.876% -9.615% -4.893%
USD/EUR 2018-10-22 -1.782% -1.319% -1.437% -2.803% -3.541%
JPY/EUR 2018-10-22 -1.955% -1.394% -1.625% -3.444% -3.249%
GBP/EUR 2018-10-22 -1.804% -1.086% -1.282% -2.486% -2.472%
CHF/EUR 2018-10-22 -1.868% -1.140% -1.855% -2.606% -3.404%

Expected worst drop in 25 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2018-10-20 -14.45% -7.563% -9.194% -68.72% -24.29%
FTSE 2018-10-22 -3.229% -2.870% -3.051% -6.081% -5.706%
SP-500 2018-10-22 -2.904% -3.802% -4.420% -14.19% -7.506%
USD/EUR 2018-10-22 -2.032% -1.504% -1.639% -3.871% -6.156%
JPY/EUR 2018-10-22 -2.229% -1.589% -1.852% -4.858% -4.980%
GBP/EUR 2018-10-22 -2.057% -1.239% -1.462% -3.386% -3.553%
CHF/EUR 2018-10-22 -2.130% -1.300% -2.115% -3.984% -7.683%