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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
- 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?
- Using the quantile from one year history
- Using the quantile from five-year history
- Using the quantile from ten-year history
- Using the quantile from the full data set
- Using the normality assumption and a GARCH(1,1) model
- Using the GJR-GARCH model with normality
- Using the GJR-GARCH model with bootstrapped residuals
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