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

name date HS MA EWMA GARCH tGARCH EVT mean ModelRisk
1 AAPL 2021-01-15 65.60 110.10 45.30 102.10 89.90 66.90 80.00 2.40
2 AMZN 2021-01-15 55.30 44.90 35.20 37.20 54.00 54.00 46.80 1.60
3 AORD 2021-01-15 34.10 25.20 19.20 18.00 24.00 34.20 25.80 1.90
4 BITCOIN 2021-01-18 139.30 109.80 134.00 135.20 402.40 135.30 176.00 3.70
5 BOVESPA 2021-01-15 53.60 41.60 30.80 33.60 42.60 50.80 42.20 1.70
6 CAC40 2021-01-15 40.30 29.20 21.50 16.60 26.60 40.50 29.10 2.40
7 CHFEUR 2021-01-15 7.00 6.50 4.50 5.40 7.50 6.80 6.30 1.70
8 DAX 2021-01-15 40.20 30.00 23.50 21.20 35.20 40.60 31.80 1.90
9 FTSE100 2021-01-15 35.60 26.20 28.10 26.40 38.60 36.80 31.90 1.50
10 FTSE100TR 2020-07-15 35.50 24.70 34.40 25.80 40.20 34.80 32.60 1.60
11 GBPEUR 2021-01-15 12.50 11.00 14.70 10.70 14.30 11.70 12.50 1.40
12 HSI 2021-01-15 31.50 26.40 19.50 21.50 29.30 32.30 26.80 1.70
13 IBEX 2021-01-15 36.20 30.30 28.90 22.70 33.40 37.60 31.50 1.70
14 ICEX 2021-01-15 30.30 23.60 27.60 19.00 27.50 28.20 26.00 1.60
15 JPYEUR 2021-01-15 12.50 11.10 7.80 9.50 11.50 12.10 10.80 1.60
16 N225 2021-01-15 37.90 26.80 24.90 26.10 42.10 34.00 32.00 1.70
17 SENSEX 2021-01-15 35.00 28.10 20.10 18.10 23.90 34.40 26.60 1.90
18 SHCOMP 2021-01-15 34.60 25.60 22.90 25.70 37.50 33.30 29.90 1.60
19 SP500 2021-01-15 41.80 30.40 17.50 16.00 27.00 40.60 28.90 2.60
20 STI 2021-01-15 27.20 22.30 22.20 22.90 31.10 27.70 25.50 1.40
21 SX5E 2021-01-15 39.90 28.80 22.40 18.90 31.10 39.50 30.10 2.10
22 TOPIX 2021-01-15 33.90 24.10 20.30 20.90 33.00 29.70 27.00 1.70
23 TWSE 2021-01-15 29.00 21.90 22.70 23.70 31.30 28.70 26.20 1.40
24 USDEUR 2021-01-15 10.60 10.00 8.70 9.00 9.00 10.10 9.60 1.20

ES

name date HS MA EWMA GARCH tGARCH EVT mean ModelRisk
1 AAPL 2021-01-15 213.70 126.10 51.80 117.00 135.70 132.50 129.50 4.10
2 AMZN 2021-01-15 66.30 51.40 40.40 42.60 72.00 71.40 57.40 1.80
3 AORD 2021-01-15 58.80 28.90 22.00 20.70 30.40 72.10 38.80 3.50
4 BITCOIN 2021-01-18 182.40 125.80 153.50 154.90 664.60 187.40 244.80 5.30
5 BOVESPA 2021-01-15 95.90 47.70 35.30 38.50 53.80 117.50 64.80 3.30
6 CAC40 2021-01-15 60.00 33.40 24.60 19.00 36.10 62.40 39.30 3.30
7 CHFEUR 2021-01-15 9.70 7.40 5.10 6.20 9.80 10.40 8.10 2.00
8 DAX 2021-01-15 58.00 34.30 26.90 24.30 48.80 60.10 42.10 2.50
9 FTSE100 2021-01-15 52.20 30.00 32.10 30.20 50.80 52.00 41.20 1.70
10 FTSE100TR 2020-07-15 52.10 28.30 39.40 29.60 52.40 58.20 43.30 2.10
11 GBPEUR 2021-01-15 16.50 12.60 16.90 12.30 18.20 17.50 15.60 1.50
12 HSI 2021-01-15 43.40 30.20 22.40 24.70 37.50 45.20 33.90 2.00
13 IBEX 2021-01-15 59.50 34.70 33.10 26.00 43.80 59.10 42.70 2.30
14 ICEX 2021-01-15 42.50 27.00 31.60 21.80 36.30 51.00 35.00 2.30
15 JPYEUR 2021-01-15 14.30 12.70 9.00 10.90 14.20 15.00 12.70 1.70
16 N225 2021-01-15 47.60 30.80 28.50 29.90 57.40 56.70 41.80 2.00
17 SENSEX 2021-01-15 64.20 32.20 23.10 20.80 30.10 76.30 41.10 3.70
18 SHCOMP 2021-01-15 47.30 29.40 26.20 29.40 51.30 53.70 39.50 2.00
19 SP500 2021-01-15 64.70 34.80 20.00 18.30 37.50 66.60 40.30 3.60
20 STI 2021-01-15 45.00 25.50 25.40 26.20 40.00 50.50 35.40 2.00
21 SX5E 2021-01-15 59.00 33.00 25.60 21.60 43.10 64.20 41.10 3.00
22 TOPIX 2021-01-15 42.70 27.60 23.30 23.90 44.90 48.70 35.20 2.10
23 TWSE 2021-01-15 45.60 25.10 26.00 27.10 40.80 58.40 37.20 2.30
24 USDEUR 2021-01-15 12.00 11.50 9.90 10.30 10.30 12.70 11.10 1.30

Large drops

name date p5 p20 d5 d20
1 AAPL 2021-01-15 0.20 3.70 -233.67 -518.72
2 AMZN 2021-01-15 0.30 86.60 -99.90 -147.82
3 AORD 2021-01-15 0.80 11.50 -129.10 -301.11
4 BITCOIN 2021-01-18 0.00 1.60 -273.07 -427.13
5 BOVESPA 2021-01-15 0.40 4.50 -213.03 -531.19
6 CAC40 2021-01-15 0.70 37.80 -98.30 -173.00
7 CHFEUR 2021-01-15 131.10 7350.80 -16.24 -28.26
8 DAX 2021-01-15 0.80 54.60 -92.09 -155.22
9 FTSE100 2021-01-15 1.10 128.60 -77.14 -123.68
10 FTSE100TR 2020-07-15 1.00 31.30 -95.91 -182.87
11 GBPEUR 2021-01-15 33.20 2273.90 -26.87 -45.56
12 HSI 2021-01-15 1.80 236.10 -66.46 -105.27
13 IBEX 2021-01-15 0.90 39.40 -94.30 -169.47
14 ICEX 2021-01-15 1.40 32.00 -87.15 -178.98
15 JPYEUR 2021-01-15 631.10 847915.10 -19.71 -26.86
16 N225 2021-01-15 1.00 33.40 -93.52 -178.10
17 SENSEX 2021-01-15 0.80 9.90 -137.74 -333.39
18 SHCOMP 2021-01-15 1.20 44.70 -86.95 -160.38
19 SP500 2021-01-15 0.70 23.70 -108.89 -204.10
20 STI 2021-01-15 1.50 32.00 -86.55 -178.95
21 SX5E 2021-01-15 0.70 27.10 -104.45 -194.00
22 TOPIX 2021-01-15 1.50 52.60 -79.69 -149.51
23 TWSE 2021-01-15 1.20 18.20 -103.62 -234.92
24 USDEUR 2021-01-15 1079.90 1011531.30 -16.83 -23.31

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