Question

In: Accounting

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

Solutions

Expert Solution


Related Solutions

Task 1: Compute the respective average, standard deviation, and covariance of monthly or daily stock returns....
Task 1: Compute the respective average, standard deviation, and covariance of monthly or daily stock returns. You can pick any two companies to download stock data for (daily or monthly Covariance table will be in the form: Var(stock1, stock1) Cov(stock1, stock2) Cov(stock1, stock2) Var(stock2, stock2) Note: Use STDEV.P in Excel for the standard deviation Task 2: Using the obtained statistics fromQ1, calculate an equal weighted portfolio return and portfolio variance for the first portfolio using the below equations: Equal weighted...
Item Sample Mean 1 Population standard deviation of 1 n1 Sample Mean 2 Population Standard Deviation...
Item Sample Mean 1 Population standard deviation of 1 n1 Sample Mean 2 Population Standard Deviation 2 n2 7 18 6 169 12 12 121 0.01 Perform a Two-tailed hypothesis test for two population means.
You are to calculate the mean and standard deviation for the rate of returns for IBM...
You are to calculate the mean and standard deviation for the rate of returns for IBM and GE. Use monthly values for the period August 1, 2007 through August 1, 2018 Q10.You are to calculate the mean and standard deviation for the rate of returns for IBM and GE. Use monthly values for the periodAugust 1, 2007 through August 1, 2018. Data can be obtained from the WWW as follows 1.Go to http:www.yahoo.com. Select the Finance option 2.Enter your stock's...
calculate the mean daily return, Variance and standard deviation for each stock?
BAFB-0.01209-0.009810.002052-0.00471-0.0050.0151010.0039630.0063530.0034920.0008790.003253-0.00160.005702-0.001440.0054430.000160.000752-0.000160.01172-0.007850.002525-0.00484-0.002070.0086780.002078-0.0037-0.00415-0.002820.0040910.004775-0.00630.001772-0.00634-0.00716-0.002330.00332-0.005640.0086370.0050670.012644-0.01573-0.00553-0.01040.0022250.0034760.0003960.00970.0026950.0139520.025452-0.002630.0101750.00196-0.00595-0.03288-0.024330.0123710.01251-0.01045-0.0115-0.008470.0044020.0007830.004539-0.008370.005610.006156-0.003250.002432-7.8E-050.0216760.0101060.0100340.001077-0.00068-0.0163-0.00918-0.005080.0057440.010840.006930.004196-0.00908-0.008820.0054190.0014050.0048580.003898-0.00098-0.00450.0182230.002184-0.001780.002102-0.004240.0019420.0148670.009691-0.01546-0.01044-0.004340.0013190.001652-0.009530.00090.0004690.003745-0.002660.0082090.0080760.0079940.011978-0.0025-0.00085-0.001550.0159230.0134190.0091620.011422-0.007430.0469-0.00945-0.01532-0.0103-0.002090.012337-0.00406-0.00228calculate the mean daily return, Variance and standard deviation for each stock?
1. Calculate the average return over the last 3 years. 2. Calculate the standard deviation of...
1. Calculate the average return over the last 3 years. 2. Calculate the standard deviation of your company’s returns over the last 3 years. [I will make sure to give thumbs up to those who answer] 8/1/2016 100.975754 9/1/2016 108.172951 10/1/2016 108.6418 11/1/2016 105.752083 12/1/2016 111.392426 1/1/2017 116.711029 2/1/2017 131.753159 3/1/2017 138.767197 4/1/2017 138.757538 5/1/2017 147.557281 6/1/2017 139.689148 7/1/2017 144.257507 8/1/2017 159.068329 9/1/2017 150.072464 10/1/2017 164.600632 11/1/2017 167.336838 12/1/2017 165.378021 1/1/2018 163.618988 2/1/2018 174.065674 3/1/2018 164.629501 4/1/2018 162.15683 5/1/2018 183.361038...
The daily returns for a stock over a period of 110 days are recorded, and the...
The daily returns for a stock over a period of 110 days are recorded, and the summary descriptive statistics are given as follows: Descriptive Statistics: return Variable N N* Mean SE Mean StDev Minimum Q1 Median Q3 Maximum Return 110 0 0.000983 .00296 .03103 -.19992 -.01393 .00322 .01591 .09771 a) Find a 95% confidence interval estimate for μ, where μ is the population mean rate of return of the stock. b) Test the hypothesis Ho:μ= 0 versus Ha:μ > 0...
1. A sample of 20 items provides a sample standard deviation of 5. a. Compute the...
1. A sample of 20 items provides a sample standard deviation of 5. a. Compute the 90% confidence interval estimate of the population variance. (2pts)                                                                               b. Compute the 95% confidence interval estimate of the population variance.(2pts)                                                                                  c. Compute the 95% confidence interval estimate of the population Standard Deviation.(2pts) 2. The variance in drug weights is critical in the pharmaceutical industry. For a specific drug, with weights measured in grams, a sample of 18 units provided a sample variance of s2...
1. calculate the standard deviation for the following returns: -10, 10, 13, -4, 5 2. a...
1. calculate the standard deviation for the following returns: -10, 10, 13, -4, 5 2. a stock has an expected return of 13.5%, its beta is 1.17 and the risk-free rate is 5.5%. what must the expected return on the market be? 3. Systematic Risk is fully diversifiable (T/F)
Calculate the mean daily return, variance and standard deviation for both stocks show your work?
AAPLBABA-0.0148-0.00640.012538-0.001550.0061780.0129080.015207-0.001890.0082810.0048470.004060.002824-0.007440.024519-0.000650.0508420.0023160.0706110.012017-0.01099-0.00091-0.00525-0.001460.003517-0.0012800.002567-0.00144-0.00777-0.012490.0031330.001464-0.00753-0.01994-0.004260.000639-0.005860.011922-0.00112-0.00189-0.007680.0118040.0009430.0123960.0059380.0023660.0093690.018785-0.000280.0456420.006128-0.01407-0.026210.002443-0.02265-0.028760.0223990.0118450.023805-0.005160.0353870.0211410.0339980.020019-0.005620.001819-0.01166-0.01539-8.8E-05-0.01621-0.000180.0457770.0094230.031698-0.01666-0.015090.001508-0.01690.001860.0223820.0076050.004526-0.01553-0.029430.0077550.002274-0.00469-0.003880.0042660.0006640.0004430.014320.007430.0011220.001493-0.010090.0174470.0227360.002154-0.029330.008942-0.0153-0.00307-0.014190.005556-0.00294-0.000680.00972-0.000680.004862-0.002980.005709-0.00051-0.00077-0.003930.0008670.0090050.0053880.0051-0.00268-0.02249-0.01382-0.0096-0.00389-0.00664-0.0044-0.00158-0.00235Calculate the mean daily return, variance and standard deviation for both stocks show your work?
Calculate the mean, ?⎯⎯⎯,x¯, and standard deviation, ?,s, for the data set. Sample Value 1 8.013...
Calculate the mean, ?⎯⎯⎯,x¯, and standard deviation, ?,s, for the data set. Sample Value 1 8.013 2 8.013 3 8.012 4 8.029 5 8.013 6 8.025
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT