For each asset (GLD, XLF, and ^GSPC) assume that you have a position of $1,000,000. What...

Transcribed Image Text:

For each asset (GLD, XLF, and ^GSPC) assume that you have a position of $1,000,000. What was the 1% one day Value at Risk for each asset when the market opened on Monday, January 3, 2022? a) Using the quantile from one year history b) Using the quantile from five-year history c) Using the quantile from ten-year history d) Using the quantile from the full data set e) Using the normality assumption and a GARCH(1,1) model f) Using the GJR-GARCH model with normality g) Using the GJR-GARCH model with bootstrapped residuals For each asset (GLD, XLF, and ^GSPC) assume that you have a position of $1,000,000. What was the 1% one day Value at Risk for each asset when the market opened on Monday, January 3, 2022? a) Using the quantile from one year history b) Using the quantile from five-year history c) Using the quantile from ten-year history d) Using the quantile from the full data set e) Using the normality assumption and a GARCH(1,1) model f) Using the GJR-GARCH model with normality g) Using the GJR-GARCH model with bootstrapped residuals

Answer rating: 100% (QA)

Calculating Value at Risk VaR for financial assets involves complex statistical and financial modeling To calculate VaR you typically need access to h... View the full answer