A portfolio of $25 million in the S&P 500. We collect a sample of daily returns on the

S&P 500 for the past year and obtain the following parameter estimates: Average daily

return = 0.0457% and daily standard deviation = 1.3327%.

a) Find a 5% 1-day VAR.

Q5. (14 marks) A portfolio of $25 million in the S&P 500. We collect a sample of daily returns on the S&P 500 for the past year and obtain the following parameter estimates: Average daily return = 0.0457% and daily standard deviation = 1.3327%. a) Find a 5% 1-day VAR. (4 marks) 1