Question
Suppose you invested $15,000 in the stock of EGF company in early 2020. You have compiled the monthly returns on this stock during the period
Suppose you invested $15,000 in the stock of EGF company in early 2020. You have compiled the monthly returns on this stock during the period of 2015-2019, as given below.
2015 | 2016 | 2017 | 2018 | 2019 |
-0.0214 | -0.0347 | -0.1824 | -0.0723 | -0.1017 |
-0.0106 | -0.0566 | -0.0070 | -0.1021 | 0.0264 |
0.0262 | 0.0158 | 0.0010 | 0.1114 | 0.1344 |
-0.1196 | 0.0862 | -0.0648 | 0.2257 | 0.0786 |
-0.0313 | 0.0675 | 0.2378 | -0.0043 | -0.1772 |
-0.0362 | 0.0609 | -0.0512 | 0.1867 | -0.0953 |
-0.1137 | -0.0203 | 0.1229 | -0.0255 | 0.0978 |
0.0401 | 0.0100 | -0.1156 | 0.1831 | -0.1110 |
0.0129 | -0.0230 | -0.2416 | -0.0360 | 0.1020 |
0.0652 | 0.1087 | -0.2591 | -0.0531 | 0.1099 |
0.1196 | -0.1980 | -0.0844 | -0.0228 | -0.0816 |
-0.0789 | -0.0012 | -0.0833 | 0.0170 | 0.0250 |
Using the historical method, calculate the 1% monthly VaR in dollars.(include key steps and don't use excel)
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