you need to submit your excel file via 1) Download S&P500 daily index prices from Jan.1, 2020
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Question:
you need to submit your excel file via
1) Download S&P500 daily index prices from Jan.1, 2020 to Jul. 30, 2020.
2) Calculate daily returns over the sample period.
3) Divide two sample periods: in-sample (Jan.1 2020 - May 30, 2020), out-of-sample (Jun.1,2020 - Jul.30, 2020)
4) Compute "mean" and"standard deviation"for thedaily returns using only over the in-sample period.
5) Calculate the 1-dayVaR(99%) on a percentage basis using the calculated mean and standard deviation.
6) Using the out-of-sample period, count the number days showing daily returns are beyond the 1-day VaR.Do you think that the 1-day VaRwould be good to measure down-side risk?
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