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Question 3 The below is the history of Stock A. You are holding 1,000 shares of stock A. Day 1 2 3 4 5 6
Question 3 The below is the history of Stock A. You are holding 1,000 shares of stock A. Day 1 2 3 4 5 6 7 8 mn00 Stock Price 40 40.3 39.8 38.2 39.5 37.3 37.3 41.1 (a) Find the volatility of Stock A. (b) Using normal approximation, find the 5-day 99% VAR for the current position. (c) Using historical simulation, find the overnight 90% VaR for the current position
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