Question: Build a stochastic volatility model for the daily log return of Cisco Systems stock from January 2001 to December 2008. You may download the simple

Build a stochastic volatility model for the daily log return of Cisco Systems stock from January 2001 to December 2008. You may download the simple return of the stock from the CRSP database or the file d-csco0108.txt. Transform the data into log returns in percentage. Use the model to obtain a predictive distribution for 1-step-ahead volatility forecast at the forecast origin December 31, 2008. Finally, use the predictive distribution to compute the value at risk of a long position worth $\$ 1$ million with probability 0.01 for the next trading day.

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