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 | AORD | 2020-09-30 | 34.10 | 25.10 | 25.30 | 21.80 | 29.40 | 34.20 | 28.30 | 1.60 |
| 2 | BITCOIN | 2020-09-30 | 142.30 | 111.50 | 55.20 | 76.80 | 191.30 | 137.00 | 119.00 | 3.50 |
| 3 | BOVESPA | 2020-09-30 | 53.60 | 41.70 | 31.00 | 43.40 | 53.60 | 50.90 | 45.70 | 1.70 |
| 4 | CAC40 | 2020-09-30 | 40.20 | 28.20 | 33.00 | 34.10 | 50.10 | 39.30 | 37.50 | 1.80 |
| 5 | CHF | 2020-09-30 | 7.40 | 6.50 | 5.90 | 5.70 | 7.90 | 7.00 | 6.70 | 1.40 |
| 6 | DAX | 2020-09-29 | 39.70 | 29.20 | 32.10 | 38.20 | 60.80 | 38.20 | 39.70 | 2.10 |
| 7 | FTSE100 | 2020-09-30 | 35.60 | 25.30 | 31.10 | 30.90 | 42.30 | 35.90 | 33.50 | 1.70 |
| 8 | FTSE100TR | 2020-07-15 | 35.50 | 24.70 | 34.40 | 25.80 | 40.20 | 34.80 | 32.60 | 1.60 |
| 9 | GBP | 2020-09-30 | 13.20 | 11.20 | 11.10 | 11.80 | 15.40 | 12.70 | 12.60 | 1.40 |
| 10 | HSI | 2020-09-30 | 34.10 | 26.40 | 23.10 | 24.20 | 32.50 | 32.60 | 28.80 | 1.50 |
| 11 | IBEX | 2020-09-30 | 36.00 | 29.20 | 32.40 | 30.40 | 40.90 | 36.80 | 34.30 | 1.40 |
| 12 | ICEX | 2020-07-15 | 30.30 | 23.00 | 25.40 | 19.20 | 27.60 | 28.10 | 25.60 | 1.60 |
| 13 | JPY | 2020-09-30 | 12.50 | 11.30 | 9.40 | 10.40 | 12.70 | 12.10 | 11.40 | 1.30 |
| 14 | N225 | 2020-09-30 | 39.70 | 27.50 | 17.10 | 18.10 | 28.60 | 35.40 | 27.70 | 2.30 |
| 15 | SENSEX | 2020-09-30 | 35.00 | 28.00 | 29.70 | 33.00 | 39.50 | 33.70 | 33.20 | 1.40 |
| 16 | SHCOMP | 2020-09-30 | 34.60 | 25.30 | 24.30 | 23.40 | 40.60 | 33.30 | 30.20 | 1.70 |
| 17 | SP500 | 2020-09-30 | 41.80 | 29.90 | 33.90 | 37.90 | 63.70 | 40.50 | 41.30 | 2.10 |
| 18 | STI | 2020-09-30 | 27.20 | 21.70 | 15.40 | 16.60 | 21.30 | 27.70 | 21.70 | 1.80 |
| 19 | SX5E | 2020-09-30 | 39.00 | 27.80 | 33.80 | 35.90 | 54.50 | 37.90 | 38.20 | 2.00 |
| 20 | TOPIX | 2020-09-30 | 35.80 | 24.70 | 17.80 | 17.10 | 27.60 | 30.60 | 25.60 | 2.10 |
| 21 | TWSE | 2020-09-30 | 30.20 | 21.90 | 25.80 | 26.60 | 35.20 | 29.60 | 28.20 | 1.60 |
| 22 | USD | 2020-09-30 | 11.50 | 10.50 | 9.90 | 10.00 | 11.90 | 11.00 | 10.80 | 1.20 |
| name | date | HS | MA | EWMA | GARCH | tGARCH | EVT | mean | ModelRisk | |
|---|---|---|---|---|---|---|---|---|---|---|
| 1 | AORD | 2020-09-30 | 58.80 | 28.70 | 29.00 | 25.00 | 37.30 | 72.10 | 41.80 | 2.90 |
| 2 | BITCOIN | 2020-09-30 | 182.80 | 127.70 | 63.30 | 88.00 | 332.00 | 191.90 | 164.30 | 5.20 |
| 3 | BOVESPA | 2020-09-30 | 95.90 | 47.80 | 35.50 | 49.80 | 67.90 | 118.40 | 69.20 | 3.30 |
| 4 | CAC40 | 2020-09-30 | 60.00 | 32.30 | 37.80 | 39.10 | 66.60 | 66.40 | 50.40 | 2.10 |
| 5 | CHF | 2020-09-30 | 9.90 | 7.40 | 6.80 | 6.50 | 10.30 | 10.50 | 8.60 | 1.60 |
| 6 | DAX | 2020-09-29 | 57.70 | 33.40 | 36.80 | 43.80 | 83.30 | 69.00 | 54.00 | 2.50 |
| 7 | FTSE100 | 2020-09-30 | 52.20 | 29.00 | 35.70 | 35.40 | 55.00 | 56.30 | 43.90 | 1.90 |
| 8 | FTSE100TR | 2020-07-15 | 52.10 | 28.30 | 39.40 | 29.60 | 52.40 | 58.20 | 43.30 | 2.10 |
| 9 | GBP | 2020-09-30 | 17.20 | 12.80 | 12.70 | 13.50 | 20.00 | 19.80 | 16.00 | 1.60 |
| 10 | HSI | 2020-09-30 | 43.70 | 30.30 | 26.50 | 27.70 | 41.40 | 46.40 | 36.00 | 1.80 |
| 11 | IBEX | 2020-09-30 | 59.40 | 33.40 | 37.10 | 34.90 | 52.50 | 59.20 | 46.10 | 1.80 |
| 12 | ICEX | 2020-07-15 | 42.50 | 26.30 | 29.10 | 22.00 | 36.30 | 50.80 | 34.50 | 2.30 |
| 13 | JPY | 2020-09-30 | 14.30 | 13.00 | 10.80 | 12.00 | 15.50 | 15.00 | 13.40 | 1.40 |
| 14 | N225 | 2020-09-30 | 49.30 | 31.50 | 19.50 | 20.70 | 39.40 | 58.00 | 36.40 | 3.00 |
| 15 | SENSEX | 2020-09-30 | 64.20 | 32.10 | 34.10 | 37.80 | 49.80 | 77.60 | 49.30 | 2.40 |
| 16 | SHCOMP | 2020-09-30 | 47.30 | 29.00 | 27.80 | 26.80 | 56.30 | 53.70 | 40.20 | 2.10 |
| 17 | SP500 | 2020-09-30 | 64.70 | 34.30 | 38.80 | 43.40 | 88.50 | 67.40 | 56.20 | 2.60 |
| 18 | STI | 2020-09-30 | 45.00 | 24.80 | 17.70 | 19.00 | 26.90 | 50.50 | 30.70 | 2.90 |
| 19 | SX5E | 2020-09-30 | 58.40 | 31.90 | 38.80 | 41.10 | 73.60 | 69.50 | 52.20 | 2.30 |
| 20 | TOPIX | 2020-09-30 | 44.00 | 28.30 | 20.30 | 19.60 | 37.90 | 52.50 | 33.80 | 2.70 |
| 21 | TWSE | 2020-09-30 | 45.70 | 25.10 | 29.50 | 30.40 | 46.40 | 54.90 | 38.70 | 2.20 |
| 22 | USD | 2020-09-30 | 14.00 | 12.00 | 11.40 | 11.50 | 14.50 | 15.60 | 13.20 | 1.40 |
| name | date | p5 | p20 | d5 | d20 | |
|---|---|---|---|---|---|---|
| 1 | AORD | 2020-09-30 | 0.80 | 11.50 | -129.10 | -301.11 |
| 2 | BITCOIN | 2020-09-30 | 0.00 | 1.50 | -282.09 | -446.94 |
| 3 | BOVESPA | 2020-09-30 | 0.40 | 4.40 | -214.81 | -537.83 |
| 4 | CAC40 | 2020-09-30 | 0.70 | 21.50 | -110.24 | -212.75 |
| 5 | CHF | 2020-09-30 | 140.40 | 8740.90 | -16.33 | -28.03 |
| 6 | DAX | 2020-09-29 | 0.70 | 16.30 | -118.04 | -242.39 |
| 7 | FTSE100 | 2020-09-30 | 1.00 | 45.80 | -89.61 | -160.56 |
| 8 | FTSE100TR | 2020-07-15 | 1.00 | 31.30 | -95.91 | -182.87 |
| 9 | GBP | 2020-09-30 | 18.40 | 891.70 | -31.37 | -55.76 |
| 10 | HSI | 2020-09-30 | 1.70 | 180.10 | -69.02 | -111.29 |
| 11 | IBEX | 2020-09-30 | 0.90 | 35.30 | -95.59 | -175.56 |
| 12 | ICEX | 2020-07-15 | 1.50 | 32.60 | -86.75 | -177.74 |
| 13 | JPY | 2020-09-30 | 565.90 | 669785.60 | -19.80 | -27.14 |
| 14 | N225 | 2020-09-30 | 1.00 | 34.20 | -94.65 | -176.98 |
| 15 | SENSEX | 2020-09-30 | 0.80 | 9.30 | -140.73 | -349.78 |
| 16 | SHCOMP | 2020-09-30 | 1.20 | 44.70 | -86.95 | -160.38 |
| 17 | SP500 | 2020-09-30 | 0.70 | 22.00 | -110.86 | -210.50 |
| 18 | STI | 2020-09-30 | 1.50 | 32.00 | -86.55 | -178.95 |
| 19 | SX5E | 2020-09-30 | 0.70 | 15.50 | -119.56 | -248.67 |
| 20 | TOPIX | 2020-09-30 | 1.30 | 36.10 | -87.68 | -171.56 |
| 21 | TWSE | 2020-09-30 | 1.20 | 25.20 | -94.81 | -199.23 |
| 22 | USD | 2020-09-30 | 66.90 | 7271.80 | -23.22 | -37.37 |
© All rights reserved, Jon Danielsson, 2020