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.
| name | date | HS | MA | EWMA | GARCH | tGARCH | EVT | mean | ModelRisk | |
|---|---|---|---|---|---|---|---|---|---|---|
| 1 | AAPL | 2021-02-18 | 65.60 | 110.20 | 41.50 | 85.40 | 77.30 | 66.90 | 74.50 | 2.70 |
| 2 | AEX | 2021-02-18 | 34.60 | 25.80 | 21.60 | 23.20 | 33.10 | 34.60 | 28.80 | 1.60 |
| 3 | AMZN | 2021-02-18 | 55.30 | 45.10 | 34.30 | 32.40 | 44.80 | 54.00 | 44.30 | 1.70 |
| 4 | AORD | 2021-02-18 | 34.10 | 25.40 | 19.30 | 17.80 | 23.70 | 34.90 | 25.90 | 2.00 |
| 5 | ASX200 | 2020-07-15 | 33.10 | 25.20 | 31.20 | 21.80 | 29.20 | 34.50 | 29.20 | 1.60 |
| 6 | BIST100 | 2021-02-18 | 40.90 | 31.90 | 29.10 | 27.30 | 37.90 | 41.20 | 34.70 | 1.50 |
| 7 | BITCOIN | 2021-02-19 | 139.30 | 108.90 | 127.60 | 121.90 | 387.00 | 135.20 | 170.00 | 3.60 |
| 8 | BOVESPA | 2021-02-18 | 53.60 | 41.70 | 29.20 | 27.00 | 34.80 | 50.20 | 39.40 | 2.00 |
| 9 | CAC40 | 2021-02-18 | 40.20 | 29.20 | 20.90 | 19.40 | 30.90 | 40.40 | 30.20 | 2.10 |
| 10 | CHFEUR | 2021-02-18 | 7.00 | 6.40 | 3.40 | 5.00 | 6.90 | 6.80 | 5.90 | 2.10 |
| 11 | DAX | 2021-02-18 | 40.20 | 30.00 | 21.00 | 20.90 | 34.20 | 40.60 | 31.20 | 1.90 |
| 12 | DAXMIDCAP | 2021-02-18 | 34.90 | 26.50 | 18.10 | 21.00 | 26.40 | 33.80 | 26.80 | 1.90 |
| 13 | FTSE100 | 2021-02-18 | 35.60 | 26.30 | 22.60 | 23.90 | 32.40 | 36.00 | 29.50 | 1.60 |
| 14 | FTSE100TR | 2020-07-15 | 35.50 | 24.70 | 34.40 | 25.80 | 39.30 | 34.80 | 32.40 | 1.60 |
| 15 | FTSE250 | 2021-02-18 | 37.40 | 26.50 | 19.80 | 22.50 | 28.60 | 33.80 | 28.10 | 1.90 |
| 16 | FTSE350 | 2021-02-18 | 36.10 | 25.70 | 21.30 | 22.80 | 30.40 | 36.10 | 28.70 | 1.70 |
| 17 | FTSEAS | 2021-02-18 | 35.90 | 25.40 | 20.90 | 22.40 | 30.10 | 36.00 | 28.40 | 1.70 |
| 18 | FTSEMIB | 2021-02-18 | 37.70 | 33.20 | 24.50 | 24.80 | 35.60 | 39.40 | 32.50 | 1.60 |
| 19 | GBPEUR | 2021-02-18 | 12.50 | 10.90 | 9.20 | 10.00 | 13.10 | 11.70 | 11.30 | 1.40 |
| 20 | HSI | 2021-02-18 | 31.50 | 26.90 | 30.30 | 29.60 | 40.90 | 32.30 | 31.90 | 1.50 |
| 21 | IBEX | 2021-02-18 | 36.00 | 30.40 | 26.40 | 24.20 | 34.30 | 37.30 | 31.40 | 1.50 |
| 22 | ICEX | 2021-02-18 | 29.30 | 23.60 | 23.80 | 22.80 | 31.40 | 27.50 | 26.40 | 1.40 |
| 23 | ISEQ | 2021-02-18 | 39.20 | 29.30 | 26.20 | 23.50 | 30.00 | 37.20 | 30.90 | 1.70 |
| 24 | JKSE | 2021-02-18 | 32.30 | 25.30 | 27.70 | 23.50 | 34.90 | 32.80 | 29.40 | 1.50 |
| 25 | JPYEUR | 2021-02-18 | 12.50 | 11.00 | 7.40 | 9.20 | 10.90 | 12.10 | 10.50 | 1.70 |
| 26 | JSE40 | 2021-02-18 | 33.40 | 29.40 | 21.20 | 21.50 | 28.00 | 35.50 | 28.20 | 1.70 |
| 27 | KFX | 2021-02-18 | 28.80 | 24.10 | 28.60 | 26.30 | 34.80 | 28.50 | 28.50 | 1.40 |
| 28 | KOSPI | 2021-02-18 | 37.30 | 26.60 | 35.10 | 27.00 | 40.50 | 34.40 | 33.50 | 1.50 |
| 29 | MERVAL | 2021-02-17 | 76.40 | 69.40 | 36.90 | 32.60 | 52.20 | 77.90 | 57.50 | 2.40 |
| 30 | MOEX | 2021-02-18 | 34.10 | 26.30 | 23.60 | 25.60 | 32.60 | 31.00 | 28.90 | 1.40 |
| 31 | MXX | 2021-02-18 | 34.30 | 25.30 | 27.00 | 24.60 | 31.30 | 32.00 | 29.10 | 1.40 |
| 32 | N225 | 2021-02-18 | 37.90 | 27.10 | 27.10 | 26.90 | 41.20 | 34.60 | 32.50 | 1.50 |
| 33 | OMX | 2021-02-18 | 35.70 | 27.00 | 16.90 | 18.40 | 23.90 | 35.10 | 26.20 | 2.10 |
| 34 | OMXH25 | 2021-02-18 | 34.80 | 27.10 | 20.00 | 20.30 | 25.30 | 34.20 | 26.90 | 1.70 |
| 35 | SENSEX | 2021-02-18 | 35.00 | 28.50 | 30.20 | 25.30 | 33.20 | 34.40 | 31.10 | 1.40 |
| 36 | SHCOMP | 2021-02-18 | 37.80 | 25.60 | 22.90 | 27.50 | 40.30 | 33.60 | 31.30 | 1.80 |
| 37 | SP500 | 2021-02-18 | 41.80 | 30.50 | 20.20 | 13.70 | 23.30 | 40.90 | 28.40 | 3.00 |
| 38 | SP500TR | 2021-02-18 | 41.80 | 30.50 | 20.30 | 13.80 | 23.40 | 40.90 | 28.50 | 3.00 |
| 39 | SPTSX | 2021-02-18 | 31.60 | 27.00 | 18.80 | 14.50 | 18.90 | 33.20 | 24.00 | 2.30 |
| 40 | STI | 2021-02-18 | 27.20 | 22.30 | 14.90 | 13.50 | 18.90 | 27.70 | 20.70 | 2.10 |
| 41 | SX5E | 2021-02-18 | 39.00 | 28.70 | 20.80 | 19.80 | 31.80 | 39.30 | 29.90 | 2.00 |
| 42 | TASI | 2021-02-18 | 31.80 | 24.40 | 15.80 | 17.40 | 26.60 | 32.60 | 24.80 | 2.10 |
| 43 | TELAVIV100 | 2021-02-18 | 34.40 | 24.60 | 19.80 | 18.30 | 23.30 | 34.20 | 25.80 | 1.90 |
| 44 | TOPIX | 2021-02-18 | 33.90 | 24.40 | 20.60 | 20.50 | 30.50 | 30.00 | 26.70 | 1.70 |
| 45 | TOPXDV | 2021-02-18 | 33.90 | 24.30 | 20.70 | 20.50 | 30.50 | 30.00 | 26.70 | 1.60 |
| 46 | TWSE | 2021-02-18 | 29.00 | 22.20 | 28.20 | 39.40 | 50.10 | 27.90 | 32.80 | 2.30 |
| 47 | USDEUR | 2021-02-18 | 10.60 | 9.90 | 7.40 | 8.70 | 8.70 | 10.10 | 9.20 | 1.40 |
| 48 | VIX | 2021-02-18 | 189.70 | 200.30 | 254.60 | 166.10 | 288.20 | 182.30 | 213.50 | 1.70 |
| name | date | HS | MA | EWMA | GARCH | tGARCH | EVT | mean | ModelRisk | |
|---|---|---|---|---|---|---|---|---|---|---|
| 1 | AAPL | 2021-02-18 | 213.70 | 126.20 | 47.60 | 97.90 | 116.20 | 132.50 | 122.30 | 4.50 |
| 2 | AEX | 2021-02-18 | 50.70 | 29.60 | 24.70 | 26.60 | 43.50 | 53.80 | 38.20 | 2.20 |
| 3 | AMZN | 2021-02-18 | 66.30 | 51.70 | 39.30 | 37.10 | 60.20 | 71.40 | 54.30 | 1.90 |
| 4 | AORD | 2021-02-18 | 58.80 | 29.10 | 22.20 | 20.40 | 30.10 | 69.20 | 38.30 | 3.40 |
| 5 | ASX200 | 2020-07-15 | 58.90 | 28.80 | 35.80 | 24.90 | 37.10 | 66.60 | 42.00 | 2.70 |
| 6 | BIST100 | 2021-02-18 | 56.30 | 36.60 | 33.40 | 31.30 | 48.70 | 57.50 | 44.00 | 1.80 |
| 7 | BITCOIN | 2021-02-19 | 182.20 | 124.80 | 146.10 | 139.70 | 653.10 | 187.10 | 238.80 | 5.20 |
| 8 | BOVESPA | 2021-02-18 | 95.90 | 47.80 | 33.50 | 30.90 | 43.60 | 132.20 | 64.00 | 4.30 |
| 9 | CAC40 | 2021-02-18 | 60.00 | 33.40 | 23.90 | 22.20 | 42.10 | 62.20 | 40.60 | 2.80 |
| 10 | CHFEUR | 2021-02-18 | 9.70 | 7.40 | 3.90 | 5.80 | 9.10 | 10.40 | 7.70 | 2.70 |
| 11 | DAX | 2021-02-18 | 58.00 | 34.40 | 24.10 | 23.90 | 47.50 | 60.10 | 41.30 | 2.50 |
| 12 | DAXMIDCAP | 2021-02-18 | 51.60 | 30.40 | 20.80 | 24.10 | 32.80 | 53.20 | 35.50 | 2.60 |
| 13 | FTSE100 | 2021-02-18 | 52.20 | 30.10 | 25.80 | 27.30 | 42.40 | 56.60 | 39.10 | 2.20 |
| 14 | FTSE100TR | 2020-07-15 | 52.10 | 28.30 | 39.40 | 29.50 | 51.10 | 58.20 | 43.10 | 2.10 |
| 15 | FTSE250 | 2021-02-18 | 55.90 | 30.40 | 22.70 | 25.80 | 36.30 | 74.70 | 40.90 | 3.30 |
| 16 | FTSE350 | 2021-02-18 | 52.50 | 29.40 | 24.40 | 26.10 | 39.30 | 55.60 | 37.90 | 2.30 |
| 17 | FTSEAS | 2021-02-18 | 52.30 | 29.10 | 23.90 | 25.60 | 39.10 | 54.70 | 37.50 | 2.30 |
| 18 | FTSEMIB | 2021-02-18 | 67.60 | 38.10 | 28.10 | 28.40 | 46.60 | 70.10 | 46.50 | 2.50 |
| 19 | GBPEUR | 2021-02-18 | 16.50 | 12.50 | 10.50 | 11.50 | 16.70 | 17.50 | 14.20 | 1.70 |
| 20 | HSI | 2021-02-18 | 43.40 | 30.80 | 34.70 | 33.90 | 52.60 | 45.20 | 40.10 | 1.70 |
| 21 | IBEX | 2021-02-18 | 59.40 | 34.90 | 30.30 | 27.70 | 44.70 | 57.60 | 42.40 | 2.10 |
| 22 | ICEX | 2021-02-18 | 41.80 | 27.00 | 27.30 | 26.10 | 40.60 | 48.30 | 35.20 | 1.80 |
| 23 | ISEQ | 2021-02-18 | 59.70 | 33.60 | 30.00 | 27.00 | 37.50 | 66.20 | 42.30 | 2.50 |
| 24 | JKSE | 2021-02-18 | 47.80 | 29.00 | 31.70 | 27.00 | 45.80 | 53.50 | 39.10 | 2.00 |
| 25 | JPYEUR | 2021-02-18 | 14.30 | 12.60 | 8.50 | 10.50 | 13.40 | 15.00 | 12.40 | 1.80 |
| 26 | JSE40 | 2021-02-18 | 58.70 | 33.70 | 24.30 | 24.70 | 35.30 | 62.90 | 39.90 | 2.60 |
| 27 | KFX | 2021-02-18 | 39.80 | 27.60 | 32.80 | 30.10 | 43.60 | 40.10 | 35.70 | 1.60 |
| 28 | KOSPI | 2021-02-18 | 48.60 | 30.50 | 40.20 | 30.90 | 52.70 | 56.20 | 43.20 | 1.80 |
| 29 | MERVAL | 2021-02-17 | 147.90 | 79.50 | 42.20 | 37.40 | 69.80 | 141.00 | 86.30 | 4.00 |
| 30 | MOEX | 2021-02-18 | 54.70 | 30.20 | 27.00 | 29.30 | 41.40 | 70.20 | 42.10 | 2.60 |
| 31 | MXX | 2021-02-18 | 46.90 | 28.90 | 31.00 | 28.20 | 38.90 | 50.70 | 37.40 | 1.80 |
| 32 | N225 | 2021-02-18 | 47.60 | 31.10 | 31.00 | 30.80 | 55.40 | 53.60 | 41.60 | 1.80 |
| 33 | OMX | 2021-02-18 | 50.30 | 30.90 | 19.30 | 21.00 | 30.00 | 53.10 | 34.10 | 2.70 |
| 34 | OMXH25 | 2021-02-18 | 51.50 | 31.10 | 22.90 | 23.20 | 31.30 | 57.90 | 36.30 | 2.50 |
| 35 | SENSEX | 2021-02-18 | 64.20 | 32.70 | 34.60 | 29.00 | 41.90 | 76.30 | 46.40 | 2.60 |
| 36 | SHCOMP | 2021-02-18 | 47.70 | 29.40 | 26.30 | 31.50 | 55.70 | 55.60 | 41.00 | 2.10 |
| 37 | SP500 | 2021-02-18 | 64.70 | 34.90 | 23.20 | 15.80 | 31.70 | 67.50 | 39.60 | 4.30 |
| 38 | SP500TR | 2021-02-18 | 64.60 | 34.90 | 23.20 | 15.90 | 31.80 | 67.30 | 39.60 | 4.20 |
| 39 | SPTSX | 2021-02-18 | 68.90 | 30.90 | 21.60 | 16.60 | 23.60 | 93.20 | 42.40 | 5.60 |
| 40 | STI | 2021-02-18 | 45.00 | 25.50 | 17.00 | 15.50 | 24.30 | 50.50 | 29.60 | 3.30 |
| 41 | SX5E | 2021-02-18 | 58.40 | 32.90 | 23.80 | 22.60 | 43.80 | 63.00 | 40.80 | 2.80 |
| 42 | TASI | 2021-02-18 | 52.10 | 27.90 | 18.10 | 19.90 | 36.00 | 57.90 | 35.30 | 3.20 |
| 43 | TELAVIV100 | 2021-02-18 | 50.70 | 28.20 | 22.60 | 21.00 | 29.10 | 59.30 | 35.20 | 2.80 |
| 44 | TOPIX | 2021-02-18 | 42.70 | 27.90 | 23.60 | 23.50 | 40.40 | 49.30 | 34.60 | 2.10 |
| 45 | TOPXDV | 2021-02-18 | 42.70 | 27.90 | 23.70 | 23.50 | 40.40 | 49.30 | 34.60 | 2.10 |
| 46 | TWSE | 2021-02-18 | 45.20 | 25.40 | 32.30 | 45.10 | 65.00 | 63.00 | 46.00 | 2.60 |
| 47 | USDEUR | 2021-02-18 | 12.00 | 11.40 | 8.40 | 10.00 | 10.00 | 12.70 | 10.70 | 1.50 |
| 48 | VIX | 2021-02-18 | 226.40 | 229.50 | 291.70 | 190.30 | 416.40 | 252.80 | 267.80 | 2.20 |
| name | date | p5 | p20 | d5 | d20 | |
|---|---|---|---|---|---|---|
| 1 | AAPL | 2021-02-18 | 0.20 | 3.70 | -233.67 | -518.72 |
| 2 | AEX | 2021-02-18 | 1.10 | 54.80 | -85.14 | -151.19 |
| 3 | AMZN | 2021-02-18 | 0.30 | 86.60 | -99.90 | -147.82 |
| 4 | AORD | 2021-02-18 | 0.80 | 13.60 | -121.94 | -270.58 |
| 5 | ASX200 | 2020-07-15 | 0.90 | 15.40 | -116.50 | -252.86 |
| 6 | BIST100 | 2021-02-18 | 0.80 | 104.40 | -84.40 | -133.28 |
| 7 | BITCOIN | 2021-02-19 | 0.00 | 1.60 | -272.37 | -425.49 |
| 8 | BOVESPA | 2021-02-18 | 0.40 | 3.70 | -240.43 | -652.72 |
| 9 | CAC40 | 2021-02-18 | 0.70 | 38.60 | -97.83 | -171.77 |
| 10 | CHFEUR | 2021-02-18 | 131.10 | 7350.80 | -16.24 | -28.26 |
| 11 | DAX | 2021-02-18 | 0.80 | 54.60 | -92.09 | -155.22 |
| 12 | DAXMIDCAP | 2021-02-18 | 1.20 | 52.60 | -84.89 | -152.57 |
| 13 | FTSE100 | 2021-02-18 | 1.00 | 44.00 | -90.44 | -162.76 |
| 14 | FTSE100TR | 2020-07-15 | 1.00 | 31.30 | -95.91 | -182.87 |
| 15 | FTSE250 | 2021-02-18 | 0.80 | 10.30 | -134.66 | -324.86 |
| 16 | FTSE350 | 2021-02-18 | 1.00 | 52.80 | -87.52 | -153.91 |
| 17 | FTSEAS | 2021-02-18 | 1.00 | 59.90 | -85.41 | -148.24 |
| 18 | FTSEMIB | 2021-02-18 | 0.70 | 16.30 | -119.13 | -240.94 |
| 19 | GBPEUR | 2021-02-18 | 33.20 | 2273.90 | -26.87 | -45.56 |
| 20 | HSI | 2021-02-18 | 1.80 | 236.10 | -66.46 | -105.27 |
| 21 | IBEX | 2021-02-18 | 0.90 | 46.70 | -90.91 | -160.41 |
| 22 | ICEX | 2021-02-18 | 1.60 | 39.90 | -81.65 | -163.49 |
| 23 | ISEQ | 2021-02-18 | 0.80 | 18.50 | -112.60 | -228.11 |
| 24 | JKSE | 2021-02-18 | 1.20 | 42.80 | -87.13 | -162.43 |
| 25 | JPYEUR | 2021-02-18 | 631.10 | 847915.10 | -19.71 | -26.86 |
| 26 | JSE40 | 2021-02-18 | 0.90 | 21.10 | -106.78 | -215.57 |
| 27 | KFX | 2021-02-18 | 2.80 | 341.80 | -59.14 | -94.07 |
| 28 | KOSPI | 2021-02-18 | 1.10 | 37.60 | -91.53 | -170.79 |
| 29 | MERVAL | 2021-02-17 | 0.10 | 3.30 | -241.32 | -495.96 |
| 30 | MOEX | 2021-02-18 | 0.90 | 11.20 | -127.12 | -312.70 |
| 31 | MXX | 2021-02-18 | 1.30 | 56.80 | -81.37 | -147.62 |
| 32 | N225 | 2021-02-18 | 1.10 | 56.50 | -84.70 | -149.80 |
| 33 | OMX | 2021-02-18 | 1.10 | 68.50 | -82.53 | -142.23 |
| 34 | OMXH25 | 2021-02-18 | 1.00 | 30.00 | -96.10 | -185.73 |
| 35 | SENSEX | 2021-02-18 | 0.80 | 9.90 | -137.74 | -333.39 |
| 36 | SHCOMP | 2021-02-18 | 1.10 | 36.60 | -91.14 | -172.10 |
| 37 | SP500 | 2021-02-18 | 0.70 | 22.50 | -110.61 | -208.41 |
| 38 | SP500TR | 2021-02-18 | 0.70 | 22.90 | -110.13 | -207.14 |
| 39 | SPTSX | 2021-02-18 | 0.80 | 6.50 | -168.74 | -475.48 |
| 40 | STI | 2021-02-18 | 1.50 | 32.00 | -86.55 | -178.95 |
| 41 | SX5E | 2021-02-18 | 0.80 | 30.10 | -101.74 | -186.49 |
| 42 | TASI | 2021-02-18 | 1.10 | 25.50 | -98.20 | -198.19 |
| 43 | TELAVIV100 | 2021-02-18 | 1.00 | 25.80 | -99.75 | -197.49 |
| 44 | TOPIX | 2021-02-18 | 1.50 | 50.90 | -80.66 | -151.39 |
| 45 | TOPXDV | 2021-02-18 | 1.50 | 51.30 | -80.54 | -151.05 |
| 46 | TWSE | 2021-02-18 | 1.10 | 13.80 | -113.87 | -278.74 |
| 47 | USDEUR | 2021-02-18 | 1079.90 | 1011531.30 | -16.83 | -23.31 |
| 48 | VIX | 2021-02-18 | 0.00 | 0.60 | -368.70 | -577.58 |
© All rights reserved, Jon Danielsson, 2021