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Consider the following expressions for the 1-day X% VaR and ES: GARCH (1,1) VaRn=nYn2=+un12+n12ESn=n2(1X)eY2/2 Where Y=N1(X). For the next questions assume a 1-day time window
Consider the following expressions for the 1-day X\% VaR and ES: GARCH (1,1) VaRn=nYn2=+un12+n12ESn=n2(1X)eY2/2 Where Y=N1(X). For the next questions assume a 1-day time window and a 99% confidence level. a. Plot the historical returns and the time series for the VaR and ES using the volatilities estimated b. What proportion of days have the returns exceeded the VaR and ES? Please use Excel
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