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 2020-06-03 123.50 106.23 81.59 88.46 223.23 126.51 2.74
GBP/EUR 2020-06-03 13.19 11.45 12.60 11.38 15.96 12.93 1.40
USD/EUR 2020-06-03 11.49 10.30 13.08 12.63 15.40 10.89 1.50
JPY/EUR 2020-06-03 12.77 11.77 13.64 12.73 15.37 12.95 1.31
CHF/EUR 2020-06-03 6.355 6.252 7.704 7.581 10.89 6.750 1.74
STOXX50E 2020-06-03 39.00 28.26 51.36 38.30 63.39 37.93 2.24
FTSE 2020-06-03 35.57 24.68 46.77 35.17 49.22 34.34 1.99
SP-500 2020-06-03 38.26 28.99 42.69 23.33 42.78 39.38 1.83
Nikkei 225 2020-06-03 39.71 28.09 41.95 32.79 53.73 36.59 1.91
Shanghai Composite 2020-06-03 34.52 24.45 18.96 19.45 37.44 33.04 1.97
Australia ASX 200 2020-06-03 34.99 26.51 43.37 34.87 46.73 34.14 1.76
Singapore STI 2020-06-03 27.22 419.56 32.68 295.88 30.50 32.70 15.41
Taiwan TWSE 2020-06-03 29.04 21.57 29.93 19.73 30.19 29.05 1.53
Germany DAX 2020-06-03 36.35 26.54 49.76 37.13 60.66 35.90 2.29
France CAC40 2020-06-03 33.89 27.10 46.72 35.74 50.29 33.36 1.86
Spain IBEX35 2020-06-03 34.15 26.14 42.90 42.08 56.90 32.74 2.18
Hong Kong HSI 2020-06-03 32.23 22.83 31.84 21.81 37.92 29.03 1.74
Iceland ICEX 2020-06-03 53.59 41.31 57.60 42.41 61.36 50.62 1.49
Brazil BOVESPA 2020-06-03 34.97 27.51 60.41 40.09 51.66 33.33 2.20
India SENSEX 2020-06-03 37.54 28.00 52.14 38.65 62.12 35.21 2.22
Amazon 2020-06-03 55.19 41.79 47.63 33.56 48.77 53.26 1.64

ES

Forecast date HS MA EWMA GARCH tGARCH EVT Model risk
Bitcoin 2020-06-03 191.04 121.70 93.47 101.35 363.49 183.38 3.89
GBP/EUR 2020-06-03 17.23 13.12 14.43 13.04 20.86 18.61 1.60
USD/EUR 2020-06-03 14.00 11.80 14.99 14.47 18.81 15.72 1.59
JPY/EUR 2020-06-03 15.34 13.48 15.63 14.58 18.98 15.86 1.41
CHF/EUR 2020-06-03 9.645 7.163 8.826 8.685 14.23 10.11 1.99
STOXX50E 2020-06-03 62.75 32.38 58.84 43.88 86.09 73.09 2.66
FTSE 2020-06-03 51.71 28.28 53.58 40.29 63.32 58.31 2.24
SP-500 2020-06-03 62.47 33.22 48.90 26.73 59.33 63.69 2.38
Nikkei 225 2020-06-03 52.39 32.19 48.07 37.57 74.06 62.00 2.30
Shanghai Composite 2020-06-03 46.19 28.02 21.73 22.28 52.70 51.40 2.43
Australia ASX 200 2020-06-03 66.84 30.38 49.69 39.95 62.14 87.51 2.88
Singapore STI 2020-06-03 444.08 480.68 37.45 338.98 42.56 106.03 12.84
Taiwan TWSE 2020-06-03 44.91 24.72 34.29 22.61 39.86 51.51 2.28
Germany DAX 2020-06-03 57.52 30.41 57.01 42.54 80.60 73.76 2.65
France CAC40 2020-06-03 54.53 31.05 53.52 40.95 64.16 55.98 2.07
Spain IBEX35 2020-06-03 43.67 29.95 49.15 48.21 72.98 46.93 2.44
Hong Kong HSI 2020-06-03 43.31 26.16 36.47 24.98 51.37 49.39 2.06
Iceland ICEX 2020-06-03 95.94 47.32 65.99 48.58 79.45 124.93 2.64
Brazil BOVESPA 2020-06-03 64.20 31.52 69.20 45.92 65.71 75.07 2.38
India SENSEX 2020-06-03 56.35 32.08 59.73 44.28 83.36 63.09 2.60
Amazon 2020-06-03 66.25 47.88 54.57 38.44 65.32 70.87 1.84

Probability (in years) of a 5% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-06-03 0.0292 0.0520 0.0424 0.0226 0.0200
GBP/EUR 2020-06-03 2.6e+21 3.1e+17 4.9e+21 79.14 33.58
USD/EUR 2020-06-03 5.7e+26 1.3e+16 2.4e+17 1429.93 57.05
JPY/EUR 2020-06-03 1.6e+20 5.2e+14 1.3e+17 735.76 629.91
CHF/EUR 2020-06-03 2.7e+74 4.8e+48 2e+50 570.25 164.65
STOXX50E 2020-06-03 207.21 0.340 3.346 0.185 0.710
FTSE 2020-06-03 3264.56 0.621 8.488 0.426 0.998
SP-500 2020-06-03 132.70 1.244 1.3e+04 0.677 0.748
Nikkei 225 2020-06-03 230.64 1.438 20.55 0.316 0.857
Shanghai Composite 2020-06-03 4064.31 9.3e+06 3.6e+06 1.045 1.276
Australia ASX 200 2020-06-03 696.13 1.092 9.388 0.513 0.748
Singapore STI 2020-06-03 0.0102 21.47 0.0115 2.232 0.739
Taiwan TWSE 2020-06-03 1.1e+05 78.67 2.1e+06 3.167 1.390
Germany DAX 2020-06-03 680.87 0.412 4.622 0.205 0.763
France CAC40 2020-06-03 452.55 0.626 7.041 0.391 1.089
Spain IBEX35 2020-06-03 928.17 1.194 1.402 0.244 1.623
Hong Kong HSI 2020-06-03 2.3e+04 30.93 8.3e+04 1.099 1.496
Iceland ICEX 2020-06-03 1.645 0.184 1.313 0.190 0.392
Brazil BOVESPA 2020-06-03 339.21 0.148 2.156 0.350 0.830
India SENSEX 2020-06-03 245.17 0.311 3.055 0.193 0.885
Amazon 2020-06-03 1.487 0.548 15.16 0.437 0.310

Probability (in years) of a 20% drop

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-06-03 674.05 6.8e+05 5.5e+04 0.305 1.752
GBP/EUR 2020-06-03 Inf 7.5e+295 Inf 1.2e+05 3146.68
USD/EUR 2020-06-03 Inf 1.3e+274 1.4e+294 4.8e+08 5188.74
JPY/EUR 2020-06-03 Inf 1.1e+252 5.4e+289 5.4e+07 1.2e+06
CHF/EUR 2020-06-03 Inf Inf Inf 9e+05 1.1e+04
STOXX50E 2020-06-03 1.2e+58 6.1e+16 1.3e+31 39.17 12.68
FTSE 2020-06-03 2.7e+76 3.1e+20 1.3e+37 512.66 29.08
SP-500 2020-06-03 1.3e+55 6.9e+24 4.4e+85 139.63 28.27
Nikkei 225 2020-06-03 6e+58 5.7e+25 7.5e+42 61.64 25.23
Shanghai Composite 2020-06-03 7.8e+77 1.2e+130 4.2e+123 179.03 61.89
Australia ASX 200 2020-06-03 1.3e+66 1.1e+24 6e+37 241.31 7.260
Singapore STI 2020-06-03 0.0299 1.4e+43 0.0691 475.76 5.486
Taiwan TWSE 2020-06-03 2.2e+100 4.7e+51 1.3e+120 2561.76 33.39
Germany DAX 2020-06-03 9.2e+65 9.1e+17 1.6e+33 70.75 11.36
France CAC40 2020-06-03 1.8e+63 3.5e+20 8.3e+35 627.02 33.64
Spain IBEX35 2020-06-03 1.1e+68 3.8e+24 3.9e+25 248.73 159.20
Hong Kong HSI 2020-06-03 3e+89 3.5e+45 1.5e+98 389.57 43.19
Iceland ICEX 2020-06-03 4e+26 1.2e+13 1.5e+25 122.36 4.029
Brazil BOVESPA 2020-06-03 2.2e+61 6e+11 2.1e+28 601.10 10.04
India SENSEX 2020-06-03 1.5e+59 1.8e+16 3.5e+30 52.41 20.38
Amazon 2020-06-03 9.3e+25 5.2e+19 7.8e+40 165.05 82.11

Expected worst drop in 5 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-06-03 -14.41% -11.07% -12.00% -59.13% -27.69%
GBP/EUR 2020-06-03 -1.553% -1.709% -1.544% -2.866% -2.795%
USD/EUR 2020-06-03 -1.397% -1.775% -1.714% -2.407% -2.366%
JPY/EUR 2020-06-03 -1.597% -1.851% -1.727% -2.459% -2.058%
CHF/EUR 2020-06-03 -0.848% -1.045% -1.028% -1.957% -1.564%
STOXX50E 2020-06-03 -3.834% -6.968% -5.196% -12.27% -12.78%
FTSE 2020-06-03 -3.349% -6.344% -4.771% -8.567% -9.698%
SP-500 2020-06-03 -3.933% -5.791% -3.165% -8.615% -10.33%
Nikkei 225 2020-06-03 -3.811% -5.691% -4.448% -10.70% -10.30%
Shanghai Composite 2020-06-03 -3.317% -2.573% -2.639% -7.749% -8.144%
Australia ASX 200 2020-06-03 -3.597% -5.884% -4.731% -8.684% -15.93%
Singapore STI 2020-06-03 -56.92% -4.434% -40.14% -6.211% -18.76%
Taiwan TWSE 2020-06-03 -2.927% -4.060% -2.677% -5.535% -8.739%
Germany DAX 2020-06-03 -3.601% -6.751% -5.037% -11.26% -13.13%
France CAC40 2020-06-03 -3.676% -6.337% -4.849% -8.605% -9.257%
Spain IBEX35 2020-06-03 -3.547% -5.820% -5.709% -9.842% -7.026%
Hong Kong HSI 2020-06-03 -3.097% -4.319% -2.958% -7.305% -8.223%
Iceland ICEX 2020-06-03 -5.604% -7.814% -5.753% -10.82% -22.74%
Brazil BOVESPA 2020-06-03 -3.732% -8.195% -5.438% -8.786% -13.57%
India SENSEX 2020-06-03 -3.798% -7.073% -5.244% -11.75% -10.75%
Amazon 2020-06-03 -5.669% -6.461% -4.552% -9.191% -9.977%

Expected worst drop in 25 years

Forecast date MA EWMA GARCH tGARCH EVT
Bitcoin 2020-06-03 -16.43% -12.62% -13.68% -100.00% -45.61%
GBP/EUR 2020-06-03 -1.771% -1.948% -1.761% -3.985% -4.569%
USD/EUR 2020-06-03 -1.593% -2.024% -1.954% -3.028% -3.880%
JPY/EUR 2020-06-03 -1.821% -2.111% -1.969% -3.147% -2.765%
CHF/EUR 2020-06-03 -0.967% -1.192% -1.173% -2.722% -2.671%
STOXX50E 2020-06-03 -4.372% -7.945% -5.925% -18.01% -27.73%
FTSE 2020-06-03 -3.818% -7.234% -5.441% -11.65% -18.79%
SP-500 2020-06-03 -4.485% -6.603% -3.609% -13.01% -19.08%
Nikkei 225 2020-06-03 -4.346% -6.490% -5.072% -16.02% -19.93%
Shanghai Composite 2020-06-03 -3.783% -2.934% -3.009% -11.93% -14.47%
Australia ASX 200 2020-06-03 -4.101% -6.709% -5.395% -12.38% -42.51%
Singapore STI 2020-06-03 -64.90% -5.056% -45.77% -9.451% -57.09%
Taiwan TWSE 2020-06-03 -3.337% -4.630% -3.052% -7.813% -17.63%
Germany DAX 2020-06-03 -4.106% -7.698% -5.743% -16.03% -29.98%
France CAC40 2020-06-03 -4.192% -7.226% -5.529% -11.55% -17.74%
Spain IBEX35 2020-06-03 -4.044% -6.636% -6.509% -13.32% -11.43%
Hong Kong HSI 2020-06-03 -3.532% -4.925% -3.373% -10.68% -15.96%
Iceland ICEX 2020-06-03 -6.390% -8.910% -6.560% -14.85% -59.23%
Brazil BOVESPA 2020-06-03 -4.256% -9.344% -6.201% -11.75% -33.21%
India SENSEX 2020-06-03 -4.331% -8.065% -5.979% -16.97% -21.89%
Amazon 2020-06-03 -6.464% -7.368% -5.191% -13.23% -14.88%

© All rights reserved, Jon Danielsson, 2020