A) You have been assigned to calculate value-at-risk for portfolio containing only stock A and provided with one-minute stock

price series. Please describe all steps that you would do to get two-step ahead prediction of value-at-risk. Provide reasoning

behind each step, if applicable.

B) What amendments would you do in your model if you assume statement #Y

0,1 - No assumptions regarding the trends

2,3 - Upward trend

4 - Downward trend

6,7 - Cyclical trend

8 - Quadratic trend