1. Assume that the portfolio considered in Section 13.1 has (in $000s) 4,000 in DJIA, 2,000 in FTSE, 2,000 in CAC 40, and 2,000 in Nikkei 225. Use the spreadsheet on the authors web site to calculate, recalling the corrections given in the video lecture:

1. The one-day 98% VaR and ES calculated as in Section 13.1.
2. The one-day 98% VaR and ES calculated using the weighting-of observations procedure in Section 13.3 and l = 0.995.
3. The one-day 98% VaR and ES calculated using the volatility-updating procedure in Section 13.3 and l = 0.94. (Here, Hull assumed that the initial variance when EWMA is applied is the sample variance).