Download S&P 500 closing prices from 12/31/2000 through 12/31/2016

Calculate the Value at Risk every day

Look back one year (you can use 252 rows worth of returns)

Calculate 3 numbers for each day:

The 99% one-day VaR(non-parametrically)

the standard deviation of the one-day returns

The actual worst-case one-day loss (the 100% non-parametric VaR)

Plot all three together on one well-labeled graph

Potential difficulties

How do you calculate the ten-day return?

How do you find a particular percentile of data in Excel?

Remember that VaRis traditionally expressed as a positive number!