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 2020-11-24 65.60 109.80 50.40 189.90 103.10 66.90 97.60 3.80
2 AMZN 2020-11-24 55.30 44.80 56.70 35.80 51.40 54.00 49.70 1.60
3 AORD 2020-11-25 34.10 25.10 21.80 19.50 26.20 34.20 26.80 1.80
4 BITCOIN 2020-11-25 139.30 109.40 73.90 86.20 255.80 135.30 133.30 3.50
5 BOVESPA 2020-11-25 53.60 41.90 35.70 36.60 46.80 51.10 44.30 1.50
6 CAC40 2020-11-25 40.30 29.10 43.20 29.40 53.40 40.50 39.30 1.80
7 CHF 2020-11-25 7.00 6.50 5.80 5.80 8.10 6.80 6.60 1.40
8 DAX 2020-11-24 40.20 29.80 37.50 30.70 51.80 40.60 38.40 1.70
9 FB 2020-11-24 65.20 50.30 63.60 36.00 116.40 63.00 65.70 3.20
10 FTSE100 2020-11-25 35.60 25.90 34.90 28.70 45.50 36.80 34.60 1.80
11 FTSE100TR 2020-07-15 35.50 24.70 34.40 25.80 40.20 34.80 32.60 1.60
12 GBP 2020-11-25 12.00 10.90 9.80 9.90 13.70 11.50 11.30 1.40
13 HSI 2020-11-25 31.50 26.40 22.30 22.90 31.00 32.30 27.70 1.40
14 IBEX 2020-11-25 36.20 30.10 47.30 37.40 55.30 37.40 40.60 1.80
15 ICEX 2020-07-15 30.30 23.00 25.40 19.20 27.60 28.10 25.60 1.60
16 JPY 2020-11-25 12.50 11.20 10.60 10.90 13.30 12.10 11.80 1.30
17 N225 2020-11-25 39.70 27.50 22.50 32.70 52.00 35.40 35.00 2.30
18 SENSEX 2020-11-25 35.00 28.20 24.80 22.80 28.70 34.20 28.90 1.50
19 SHCOMP 2020-11-25 34.60 25.40 18.10 17.60 30.50 33.30 26.60 2.00
20 SP500 2020-11-25 41.80 30.40 31.10 20.50 37.20 40.60 33.60 2.00
21 STI 2020-11-25 27.20 22.10 28.00 27.40 36.70 27.70 28.20 1.70
22 SX5E 2020-11-25 39.90 28.70 41.40 31.30 54.70 39.50 39.30 1.90
23 TOPIX 2020-11-25 35.80 24.60 18.50 28.90 42.60 30.60 30.20 2.30
24 TWSE 2020-11-25 30.20 22.00 22.80 23.10 31.50 29.70 26.50 1.40
25 USD 2020-11-25 10.60 10.20 8.70 9.10 9.10 10.10 9.60 1.20

ES

name date HS MA EWMA GARCH tGARCH EVT mean ModelRisk
1 AAPL 2020-11-24 213.70 125.80 57.70 217.50 159.80 132.50 151.20 3.80
2 AMZN 2020-11-24 66.30 51.30 65.00 41.00 68.50 71.40 60.60 1.70
3 AORD 2020-11-25 58.80 28.80 25.00 22.30 33.20 72.10 40.00 3.20
4 BITCOIN 2020-11-25 182.40 125.40 84.60 98.80 441.90 187.40 186.80 5.20
5 BOVESPA 2020-11-25 95.90 48.00 40.90 41.90 59.00 119.00 67.50 2.90
6 CAC40 2020-11-25 60.00 33.40 49.50 33.70 72.60 62.40 51.90 2.20
7 CHF 2020-11-25 9.70 7.40 6.60 6.60 10.50 10.40 8.50 1.60
8 DAX 2020-11-24 58.00 34.20 43.00 35.10 72.40 60.10 50.50 2.10
9 FB 2020-11-24 96.80 57.60 72.80 41.20 172.80 100.90 90.40 4.20
10 FTSE100 2020-11-25 52.20 29.70 40.00 32.90 59.90 52.00 44.50 2.00
11 FTSE100TR 2020-07-15 52.10 28.30 39.40 29.60 52.40 58.20 43.30 2.10
12 GBP 2020-11-25 15.90 12.50 11.30 11.30 17.60 17.30 14.30 1.60
13 HSI 2020-11-25 43.40 30.20 25.60 26.20 39.80 45.20 35.10 1.80
14 IBEX 2020-11-25 59.50 34.50 54.20 42.80 71.70 59.30 53.70 2.10
15 ICEX 2020-07-15 42.50 26.30 29.10 22.00 36.30 50.80 34.50 2.30
16 JPY 2020-11-25 14.30 12.80 12.10 12.50 16.30 15.00 13.80 1.30
17 N225 2020-11-25 49.30 31.50 25.80 37.50 71.40 58.00 45.60 2.80
18 SENSEX 2020-11-25 64.20 32.30 28.40 26.10 35.90 74.40 43.60 2.80
19 SHCOMP 2020-11-25 47.30 29.10 20.80 20.10 41.80 53.70 35.50 2.70
20 SP500 2020-11-25 64.70 34.80 35.70 23.40 51.30 66.60 46.10 2.80
21 STI 2020-11-25 45.00 25.30 32.10 31.40 46.70 50.50 38.50 2.00
22 SX5E 2020-11-25 59.00 32.90 47.50 35.80 75.60 64.20 52.50 2.30
23 TOPIX 2020-11-25 44.00 28.20 21.20 33.10 58.50 52.50 39.60 2.80
24 TWSE 2020-11-25 45.70 25.10 26.10 26.50 41.50 54.60 36.60 2.20
25 USD 2020-11-25 12.00 11.70 9.90 10.40 10.40 12.70 11.20 1.30

Large drops

name date p5 p20 d5 d20
1 AAPL 2020-11-24 0.20 3.70 -233.67 -518.72
2 AMZN 2020-11-24 0.30 86.60 -99.90 -147.82
3 AORD 2020-11-25 0.80 11.50 -129.10 -301.11
4 BITCOIN 2020-11-25 0.00 1.60 -273.07 -427.13
5 BOVESPA 2020-11-25 0.40 4.40 -215.95 -540.90
6 CAC40 2020-11-25 0.70 37.80 -98.30 -173.00
7 CHF 2020-11-25 131.10 7350.80 -16.24 -28.26
8 DAX 2020-11-24 0.80 54.60 -92.09 -155.22
9 FB 2020-11-24 0.20 8.70 -162.75 -297.93
10 FTSE100 2020-11-25 1.10 128.60 -77.14 -123.68
11 FTSE100TR 2020-07-15 1.00 31.30 -95.91 -182.87
12 GBP 2020-11-25 33.60 2221.50 -26.63 -45.34
13 HSI 2020-11-25 1.80 236.10 -66.46 -105.27
14 IBEX 2020-11-25 0.90 37.40 -95.08 -172.33
15 ICEX 2020-07-15 1.50 32.60 -86.75 -177.74
16 JPY 2020-11-25 631.10 847915.10 -19.71 -26.86
17 N225 2020-11-25 1.00 34.20 -94.65 -176.98
18 SENSEX 2020-11-25 0.80 10.50 -133.89 -319.50
19 SHCOMP 2020-11-25 1.20 44.70 -86.95 -160.38
20 SP500 2020-11-25 0.70 23.70 -108.89 -204.10
21 STI 2020-11-25 1.50 32.00 -86.55 -178.95
22 SX5E 2020-11-25 0.70 27.10 -104.45 -194.00
23 TOPIX 2020-11-25 1.30 36.10 -87.68 -171.56
24 TWSE 2020-11-25 1.30 26.00 -94.07 -196.28
25 USD 2020-11-25 1079.90 1011531.30 -16.83 -23.31

© All rights reserved, Jon Danielsson, 2020