For this question, use data from 03 March 2017 to 03 December 2018. On 03 December 2018, after the

market close, your portfolio consisted of 5 different stocks: CGC (Nasdaq), KHC (Nasdaq), PFE (NYSE),

MSFT (Nasdaq), and SNAP (NYSE). Here is the number of stocks of each company that you hold in your

portfolio:

Date: 03 Dec 2018 at close

Stock Number of stocks in portfolio

CGC 22,730

KHC 3,847

PFE 5,268

MSFT 4,125

SNAP 3,691

a) Using historical simulation approach, calculate 10-day 99% VaR and C-VaR

b) What would be your 10-day 99% VaR estimate if you incorporate a jump component of -5% for your

portfolio return every 2% of the time?

c) Back-test your estimate in b): how many times did your daily portfolio return was worse than your 1-

day 99% VaR estimate from b)?

d) Using EWMA approach, estimate daily annualized volatility of your portfolio return for tomorrow?

Use long-term variance as a first variance input for estimations

e) What is the difference between the optimal lambda you used in d) and the lambda suggested by JP

Morgan's RiskMetrics?

f) Using GARCH(1,1) approach, estimate daily annualized volatility of your portfolio return for

tomorrow?

Use long-term variance as a first variance input for estimations and optimize over alpha,

beta, and gamma

g) What is the absolute difference between your estimates in d) and f)?