Given a sample size of 252, the annualized volatility (based on daily return) is 20% and the

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Given a sample size of 252, the annualized volatility (based on daily return) is 20% and the stock price is at $100.

a) What should be the daily VaR for the security given a confidence level of 99%?

b) What is the 95% confidence level of the daily VaR?

c) If there are 5 losses falling outside of the VaR, then the estimation for the VaR is too conservative.Do you agree?Why?

Posted Date: May 17, 2024 07:03 AM

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Given a sample size of 252, the annualized volatility (based on daily return) is 20% and the

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