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 the daily returns using only over the in-sample period.

5) Calculate the 1-day VaR (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 VaR would be good to measure down-side risk?