FINA 5250, Fall 2020 Homework 2 Due: Friday, Nov 13, 5:00pm Submit codes and results via Canvas I. Download the dataset "DHSI" from the course website, which contains daily data of Hang Seng Index from 1986-12-31 to 2020-09-30. Conduct the following analysis parallel to what we did in class for S&P500 index. 1. Compute VaR and expected shortfall under normal assumption for Hang Seng Index for q=0.01 and 0.001, and give your interpretation of the results. 2. Use qqnorm to generate empirical QQ plot for Hang Seng Index log returns. Describe the tail-heaviness of the data compared with normal distribution. 3. Compute the empirical VaR and empirical expected shortfall for Hang Seng Index for q=0.01 and 0.001, and give your interpretation of the results. 4. Normal model (under-/ over-)estimates the risk. II. Give your interpretation of each of the four QQ-plots by filling in the blanks below. The two plots were produced with the R command qqnorm Plot 1 Plot 2 LO -5 -4 -3 -2 -1 0 1 O O -10 -2 2 -2 2 Quantiles of Standard Normal Quantiles of Standard Normal Plot 1. . The tails of Y are (heavier or lighter?) than the tails of the Gaussian distribution. Plot 2. . The upper tail of Z is (heavier than Gaussian/lighter than Gaussian/Gaussian?). . The lower tail of Z is (heavier than Gaussian/lighter than Gaussian/Gaussian?)