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 2020-02-21 123.50 102.57 61.69 76.30 142.53 122.01 2.31
GBP/EUR 2020-02-21 12.55 12.06 9.526 10.18 15.68 12.81 1.65
USD/EUR 2020-02-21 11.02 10.16 6.264 6.846 11.26 10.56 1.80
JPY/EUR 2020-02-21 14.28 12.79 8.052 9.387 12.47 14.74 1.83
CHF/EUR 2020-02-21 6.537 6.271 4.312 5.313 7.381 6.852 1.71
STOXX50E 2020-02-21 24.58 21.50 19.71 16.45 28.32 24.32 1.72
FTSE 2020-02-21 22.70 17.49 18.60 16.36 23.52 20.39 1.44
SP-500 2020-02-21 26.29 18.17 16.32 13.57 23.32 25.50 1.94
Nikkei 225 2020-02-21 37.79 27.54 23.87 24.64 41.71 35.87 1.75

ES

Forecast date HS MA EWMA GARCH tGARCH EVT Model risk
Bitcoin 2020-02-21 155.06 117.51 70.67 87.41 221.00 157.16 3.13
GBP/EUR 2020-02-21 16.37 13.82 10.91 11.66 20.97 17.22 1.92
USD/EUR 2020-02-21 15.08 11.64 7.176 7.843 14.12 15.93 2.22
JPY/EUR 2020-02-21 21.98 14.65 9.225 10.75 15.57 20.55 2.38
CHF/EUR 2020-02-21 9.635 7.185 4.940 6.087 9.548 10.04 2.03
STOXX50E 2020-02-21 34.41 24.63 22.58 18.85 37.80 33.96 2.01
FTSE 2020-02-21 26.89 20.04 21.31 18.74 29.92 29.66 1.60
SP-500 2020-02-21 32.81 20.82 18.69 15.55 32.22 35.45 2.28
Nikkei 225 2020-02-21 50.42 31.55 27.35 28.23 58.72 60.38 2.21

Probability (in years) of a 5% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-02-21 0.0312 0.135 0.0628 0.0386 0.0074
GBP/EUR 2020-02-21 1.5e+19 2.9e+31 2.5e+27 53.09 81.60
USD/EUR 2020-02-21 3.3e+27 1.4e+74 8.4e+61 2892.74 40.50
JPY/EUR 2020-02-21 8.4e+16 3e+44 2.7e+32 1869.86 30.09
CHF/EUR 2020-02-21 9.5e+73 2.7e+157 2.7e+103 7298.16 208.35
STOXX50E 2020-02-21 1.3e+05 2.2e+06 5.1e+09 3.873 5.073
FTSE 2020-02-21 2.7e+08 2e+07 6.9e+09 16.98 7.052
SP-500 2020-02-21 5.1e+07 7.9e+09 7.9e+14 6.558 4.403
Nikkei 225 2020-02-21 332.35 7247.70 3404.43 0.724 0.907

Probability (in years) of a 20% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-02-21 1395.30 1.7e+11 7.4e+06 1.013 3.646
GBP/EUR 2020-02-21 Inf Inf Inf 3.5e+04 1.8e+04
USD/EUR 2020-02-21 Inf Inf Inf 5.1e+07 2488.28
JPY/EUR 2020-02-21 8.1e+286 Inf Inf 4.9e+07 4058.95
CHF/EUR 2020-02-21 Inf Inf Inf 1.9e+07 1.6e+04
STOXX50E 2020-02-21 1.1e+101 2.5e+120 1.2e+173 2324.86 672.30
FTSE 2020-02-21 1.1e+153 1.9e+135 1.1e+175 8.2e+04 594.55
SP-500 2020-02-21 5.3e+141 1.1e+176 7e+254 1803.57 614.44
Nikkei 225 2020-02-21 1.6e+61 5.8e+81 5.1e+76 117.95 27.58

Expected worst drop in 5 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-02-21 -13.91% -8.368% -10.35% -34.90% -21.46%
GBP/EUR 2020-02-21 -1.637% -1.292% -1.381% -2.949% -2.446%
USD/EUR 2020-02-21 -1.378% -0.850% -0.929% -1.861% -2.472%
JPY/EUR 2020-02-21 -1.735% -1.092% -1.273% -2.042% -3.011%
CHF/EUR 2020-02-21 -0.851% -0.585% -0.721% -1.299% -1.529%
STOXX50E 2020-02-21 -2.917% -2.674% -2.232% -5.303% -4.980%
FTSE 2020-02-21 -2.373% -2.523% -2.220% -4.002% -4.490%
SP-500 2020-02-21 -2.466% -2.213% -1.841% -4.664% -5.182%
Nikkei 225 2020-02-21 -3.736% -3.239% -3.343% -8.635% -10.00%

Expected worst drop in 25 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-02-21 -15.87% -9.542% -11.80% -60.43% -30.76%
GBP/EUR 2020-02-21 -1.866% -1.474% -1.575% -4.238% -3.693%
USD/EUR 2020-02-21 -1.572% -0.969% -1.059% -2.438% -4.250%
JPY/EUR 2020-02-21 -1.978% -1.246% -1.452% -2.655% -4.745%
CHF/EUR 2020-02-21 -0.970% -0.667% -0.822% -1.780% -2.549%
STOXX50E 2020-02-21 -3.326% -3.049% -2.545% -7.600% -7.861%
FTSE 2020-02-21 -2.706% -2.877% -2.531% -5.351% -7.427%
SP-500 2020-02-21 -2.811% -2.524% -2.099% -7.006% -8.141%
Nikkei 225 2020-02-21 -4.260% -3.693% -3.811% -13.30% -19.22%

© All rights reserved, Jon Danielsson, 2019