3. Find a source of stock price data on the Internet and obtain daily prices for a stock of your choice over the last 1,000 days.

(a) Assuming that the loss distribution is t, find the parametric estimate of VaR(0.025, 24 h).

(b) Find the nonparametric estimate of VaR(0.025, 24 h).

(c) Use a t-plot to decide if the normality assumption is reasonable.

578 19 Risk Management

(d) Estimate the tail index assuming a polynomial tail and then use the estimate of VaR(0.025, 24 h) from part

(a) to estimate VaR(0.0025, 24 h).