Values for the NASDAQ Composite index during the 50 days preceding March 10, 2006, can be downloaded from the authors website. Calculate the one-day 99% VaR, and one-day 99% ES on March 10, 2006, for a $10 million portfolio invested in the index using: (a) The basic historical simulation approach. (b) The exponential weighting scheme in Section 13.3.1 with = 0.995. 1 (c) The volatility-scaling procedures in Sections 13.3.2 and 13.3.3 with = 0.94 (assume that the inital variance when EWMA is applied is the sample variance). (d) Extreme value theory with u = 300 and equal weightings. (e) A model where daily returns are assumed to be normally distributed with mean zero (use both an equally weighted approach and the EWMA approach with = 0.94 to estimate the standard deviation of daily returns.). Discuss the reasons for the differences between the results you get.

**PLEASE SHOW STEPS WHEN SOLVING**

These are the values:

Date	NASDAQ Close
10-Mar-06	2262.04
9-Mar-06	2249.72
8-Mar-06	2267.46
7-Mar-06	2268.38
6-Mar-06	2286.03
3-Mar-06	2302.6
2-Mar-06	2311.11
1-Mar-06	2314.64
28-Feb-06	2281.39
27-Feb-06	2307.18
24-Feb-06	2287.04
23-Feb-06	2279.32
22-Feb-06	2283.17
21-Feb-06	2262.96
17-Feb-06	2282.36
16-Feb-06	2294.63
15-Feb-06	2276.43
14-Feb-06	2262.17
13-Feb-06	2239.81
10-Feb-06	2261.88
9-Feb-06	2255.87
8-Feb-06	2266.98
7-Feb-06	2244.96
6-Feb-06	2258.8
3-Feb-06	2262.58
2-Feb-06	2281.57
1-Feb-06	2310.56
31-Jan-06	2305.82
30-Jan-06	2306.78
27-Jan-06	2304.23
26-Jan-06	2283
25-Jan-06	2260.65
24-Jan-06	2265.25
23-Jan-06	2248.47
20-Jan-06	2247.7
19-Jan-06	2301.81
18-Jan-06	2279.64
17-Jan-06	2302.69
13-Jan-06	2317.04
12-Jan-06	2316.69
11-Jan-06	2331.36
10-Jan-06	2320.32
9-Jan-06	2318.69
6-Jan-06	2305.62
5-Jan-06	2276.87
4-Jan-06	2263.46
3-Jan-06	2243.74
30-Dec-05	2205.32
29-Dec-05	2218.16
28-Dec-05	2228.94