Instructions : ONLY DO $3.($DO ALL PARTS OF $3$ after Finding the Data Set And make sure its correct$)$

Consider an equally weighted portfolio consisting as the following stocks:

Microsoft $($MSFT$)$

Intel $($INTC$)$

International Business Machines $($IBM$)$

Apple Inc. $($AAPL$)$

Google $($Alphabet Inc.$)($GOOG$)$

and two factors

S&P $500$ Index $(^$GSPC$)$

NASDAQ Index $(^$IXIC$)$

Let $R_1,R_2,R_3,R_4,R_5$ be returns of those five stocks, respectively, $F_1$ and $F_2$ be the

daily returns of S&P $500$ Index and NASDAQ Index.

Parametric VaR & CVaR $($Use $1$ year daily from Yahoo Finance from $\frac{09}{15}\frac{?}{2022}$ to $\frac{09}{15}\frac{?}{2023})$

Find mean and variance of returns of $5$ stocks, respectively.

Find the covariance matrix of the $5$ stock returns.

Consider an equally weighted portfolio of the $5$ stocks and calculate parametric $99\%-$VaR and CVaR

of the portfolio using the Gaussian assumption.

Historical VaR & CVaR $($Use $10$ years daily data from Yahoo Finance from $09/15/2012$ to $09/15/2022)$

Find historical $99\%-$VaRs for those $5$ stock returns.

Consider an equally weighted portfolio of the $5$ stocks and calculate Historical $99\%-$VaR and CVaR

VaR & CVaR with the multi$-$factor model $($Use $1$ year daily from Yahoo Finance from $09/15/2022$ to

$\frac{09}{15}\frac{?}{2023})$

Estimate the intercepts and beta coefficients for each $R_n$ using regression model

Find the covariance metrics for $F_1$ and $F_2$

Consider an equally$-$weighted portfolio with those $5$ stocks and Calculate $99\%-$VaR and CVaR

$($AVaR$)$ under the Gaussian assumption.