1) Calculate daily returns over the sample period. 2) Compute "mean" and "standard deviation" for the...

1) Calculate daily returns over the sample period.

2) Compute "mean" and "standard deviation" for the daily returns.

3)Calculate the 1-day VaR (99%) on a percentage basis using the calculated mean and standard deviation.

Answer in EXCEL . Use data provided below

Date	Open	High	Low	Close	Adj Close	Volume
1/2/2020	3244.67	3258.14	3235.53	3257.85	3257.85	3458250000
1/3/2020	3226.36	3246.15	3222.34	3234.85	3234.85	3461290000
1/6/2020	3217.55	3246.84	3214.64	3246.28	3246.28	3674070000
1/7/2020	3241.86	3244.91	3232.43	3237.18	3237.18	3420380000
1/8/2020	3238.59	3267.07	3236.67	3253.05	3253.05	3720890000
1/9/2020	3266.03	3275.58	3263.67	3274.7	3274.7	3638390000
1/10/2020	3281.81	3282.99	3260.86	3265.35	3265.35	3212970000
1/13/2020	3271.13	3288.13	3268.43	3288.13	3288.13	3456380000
1/14/2020	3285.35	3294.25	3277.19	3283.15	3283.15	3665130000
1/15/2020	3282.27	3298.66	3280.69	3289.29	3289.29	3716840000
1/16/2020	3302.97	3317.11	3302.82	3316.81	3316.81	3535080000
1/17/2020	3323.66	3329.88	3318.86	3329.62	3329.62	3698170000
1/21/2020	3321.03	3329.79	3316.61	3320.79	3320.79	4105340000
1/22/2020	3330.02	3337.77	3320.04	3321.75	3321.75	3619850000
1/23/2020	3315.77	3326.88	3301.87	3325.54	3325.54	3764860000
1/24/2020	3333.1	3333.18	3281.53	3295.47	3295.47	3707130000
1/27/2020	3247.16	3258.85	3234.5	3243.63	3243.63	3823100000
1/28/2020	3255.35	3285.78	3253.22	3276.24	3276.24	3526720000
1/29/2020	3289.46	3293.47	3271.89	3273.4	3273.4	3584500000
1/30/2020	3256.45	3285.91	3242.8	3283.66	3283.66	3787250000
1/31/2020	3282.33	3282.33	3214.68	3225.52	3225.52	4527830000

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Expert Solution

ekkarill92 answered 1 year ago

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