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

Discuss the reasons for the differences among the results you get

I will only need #3. complete on extreme value theory.

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