Answered step by step
Verified Expert Solution
Question
1 Approved Answer
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 Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Industrializing Financial Services With DevOps
Authors: Spyridon Maniotis
1st Edition
1804614343, 978-1804614341
