1) Download S&P500 daily index prices from Jan.1, 2021, to May. 31, 2022, from Nasdaq

2) Calculate daily returns over the sample period.

3) Divide two sample periods: in-sample (Jan.1, 2021 - Dec. 31, 2021), out-of-sample (Jan. 1, 2022- May.31, 2022)

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 of days showing daily returns are beyond the 1-day VaR. Do you think that the 1-day VaR would be good to measure downside risk?