Question: Part I : Using the past two years daily data, calculate the 1-day 99% VaR on November 2, 2020 for a one million dollars portfolio

Part I: Using the past two years daily data, calculate the 1-day 99% VaR on November 2, 2020 for a one million dollars portfolio with 100% invested in TSX Composite Index, according to the following:

(1)the basic historical simulation approach

(2)the exponential weighting scheme with =0.995

(3)extreme value theory

You will only need to complete #3.

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