Question
1. Please use the following instructions. The instructions indicate how to download daily stock price of General Electric Company from 2010-01-01 to 2020-12-31 from Yahoo!
1. Please use the following instructions. The instructions indicate how to download daily stock price of General Electric Company from 2010-01-01 to 2020-12-31 from Yahoo! Finance and how to convert it to daily log return.
library(quantmod)
getSymbols("GE", src = "yahoo", from='2010-01-01', to='2020-12-31')
GE.Adj <- GE$GE.Adjusted
logreturns <- diff(log(GE.Adj))
logreturns <- logreturns[-1,]
a) Assuming that the daily log returns for General Electric Company follow normal distribution, estimate 95% VaR (Value at Risk).
b) Estimate 95% ES (Expected Shortfall) based on the sample distribution.
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