In: Accounting
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 |