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The below is the history of Stock A. You are holding 1,000 shares of stock A. Day 1 2 Stock Price 40 40.3 39.8 38.2

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The below is the history of Stock A. You are holding 1,000 shares of stock A. Day 1 2 Stock Price 40 40.3 39.8 38.2 39.5 37.3 37.3 41.1 5 6 (a) (b) Find the volatility of Stock A. 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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