Assume that the daily return of S&P 500 index (y_t) follows GARCH (1,1) model as follows:

• y_t=c+_tt,
• _t²=₀+₁(_t-1t-1)²+_1t-1²
• _t~ iid N(0,1)

Read 2 years S&P 500 index (^GSPC) data from 09/15/2018 to 09/15/2020.

1. Calculate 1-day 99% VaR and CVaR(i.e.VaR_1%(y_t) and CVaR_1%(y_t)=AVaR_1%(y_t)).
2. Calculate 10-day 99% VaRand CVaRusing Monte Carlo simulation method