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Get the daily closing prices data for SPDR Gold Shares (GLD), Financial Sector SPDR Fund (XLF) and SP500 (^GSPC) from finance.Yahoo for the period 2005-01-01

  1. Get the daily closing prices data for SPDR Gold Shares (GLD), Financial Sector SPDR Fund (XLF) and SP500 (^GSPC) from finance.Yahoo for the period 2005-01-01 to 2022-12-31. Create the returns variable for each series and plot graphs.

For each asset (GLD, XLF, and ^GSPC) assume that you have a position of $1,000,000. What was the 1% one day Value at Risk for each asset when the market opened on Monday, January 3, 2023?

  1. Using the quantile from one year history
  2. Using the quantile from five-year history
  3. Using the quantile from ten-year history
  4. Using the quantile from the full data set
  5. Using the normality assumption and a GARCH(1,1) model
  6. Using the GJR-GARCH model with normality
  7. Using the GJR-GARCH model with bootstrapped residuals

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