Question
Consider QQQ, the ETF. Using data for the last 1250 days, calculate the empirical var at 99% for a position of 1,000,000 in QQQ. Calculate
Consider QQQ, the ETF.
Using data for the last 1250 days, calculate the empirical var at 99% for a position of 1,000,000 in QQQ.
Calculate the corresponding Gaussian var at 99% using the sample standard deviation. Which is largest?
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The data given in the QQQ data set w...
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Financial Analysis with Microsoft Excel
Authors: Timothy R. Mayes, Todd M. Shank
7th edition
1285432274, 978-1305535596, 1305535596, 978-1285432274
