estimate VaR for an equity portfolio using the $$Model$-$Building$$

approach using excel functions, show all clear steps with guide. Suppose you have invested in two of the Fama$-$French factors, namely Mkt$-$RF and

HML$.$ Assume conditionally the returns of Mkt$-$RF and HML follow a bivariate normal

distribution. Assume the portfolio return is the sum of the factor returns. Estimate the daily volatilities and the correlation using the EWMA model with $\backslash$lambda $=$

$0\mathrm{.}94$ using excel functions, show all clear steps with guide Plot the daily volatilities for Mkt$-$RF and HML on the same graph. Plot the daily

correlations on a separate graph using excel functions, show all clear steps with guide. Estimate the one$-$day $99\%$ VaR for the portfolio uing excel functions, show all clear steps with guide

Note: You are not required to use maximum likelihood to estimate $\backslash$lambda $,$ we simply

assume $\backslash$lambda $=0\mathrm{.}94.$ You may assume the initial variance for the first rate of return is

equal to the sample variance, and the initial covariance is equal to the sample

covariance.