Again, consider the position and data of Exercise 1. In this exercise, apply the GPD with threshold \(2.5 \%\) to obtain the parameter estimates and the corresponding diagnostic plots. Compute \(\mathrm{VaR}_{0.99}(10)\) of the position, that is, the VaR for the next 10 trading days.

Data From Exercise 1:

Consider a long position of \(\$ 1\) million on the Apple stock. To assess the risk of the position, we employ daily returns of the stock from January 2, 2001 to September 30, 2011 for 2704 observations. The daily simple returns are obtained from CRSP and in the file d-aapl-0111.txt. Let the tail probability be \(p=0.01\). Compute the VaR and ES of the position for the next trading day and the next 10 trading days using the following methods: