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4291.8 E F H A B D 1 Security SPX Index 2 Start Date 31/12/2020 00:00 3 End Date 30/06/2021 00:00 4 Period D 5 Currency USD 6 7 Date PX_LAST PX_VOLUME 8 30/06/2021 4297.5 586723611 0.001328 9 29/06/20211 4291.8 464266876 10 28/06/2021 4290.61 534470535 11 25/06/2021 4280.7 1020842135 12 24/06/2021 4266.49 488899252 13 23/06/2021 4241.84 476502799 14 22/06/2021 4246.44 518151273 15 21/06/2021 4224.79 585617106 16 18/06/2021 4166.45 1602813284 17 17/06/2021 4221.86 692607231 18 16/06/2021 4223.7 608208040 19 15/06/2021 4246.59 496016796 20 14/06/2021 4255.15 502609179 21 11/06/2021 4247.44 466454827 22 10/06/2021 4239.18 514102430 23 09/06/2021 4219.55 490279644 Sheet1 1 1 1 A B E 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 09/06/2021 08/06/2021 07/06/2021 04/06/2021 03/06/2021 02/06/2021 01/06/2021 28/05/2021 27/05/2021 26/05/2021 25/05/2021 24/05/2021 21/05/2021 20/05/2021 19/05/2021 18/05/2021 17/05/2021 14/05/2021 13/05/2021 12/05/2021 11/05/2021 10/05/2021 07/05/2021 4219.55 4227.26 4226.52 4229.89 4192.85 4208.12 4202.04 4204.11 4200.88 4195.99 4188.13 4197.05 4155.86 4159.12 4115.68 4127.83 4163.29 4173.85 4112.5 490279644 582092984 467143647 465931759 560056029 552370467 556072392 583005905 1294689893 565352447 536415469 491196272 661555886 570286974 669726651 582592424 571758354 501702759 574425439 652754704 601429054 627898357 541938360 41 42 43 4063.04 4152.1 4188.43 4232.6 44 45 45 46 47 48 49 50 51 52 53 54 55 56 57 07/05/2021 06/05/2021 05/05/2021 04/05/2021 03/05/2021 30/04/2021 29/04/2021 28/04/2021 27/04/2021 26/04/2021 23/04/2021 22/04/2021 21/04/2021 20/04/2021 19/04/2021 16/04/2021 15/04/2021 14/04/2021 13/04/2021 12/04/2021 09/04/2021 08/04/2021 07/04/2021 Shoot1 4232.6 4201.62 4167.59 4164.66 4192.66 4181.17 4211.47 4183.18 4186.72 4187.62 4180.17 4134.98 4173.42 4134.94 4163.26 4185.47 4170.42 4124.66 4141.59 4127.99 4128.8 4097.17 4079.95 541938360 601702899 574161146 647398683 574622074 738271693 603848011 555786121 518563989 535480152 530028545 586661634 552948853 542835759 545994739 670059948 556701817 547124390 523803668 526549650 510310239 542499615 489011089 58 59 60 61 62 63 64 65 66 67 67 68 69 70 71 72 73 74 75 76 77 78 79 07/04/2021 06/04/2021 05/04/2021 01/04/2021 31/03/2021 30/03/2021 29/03/2021 26/03/2021 25/03/2021 24/03/2021 23/03/2021 22/03/2021 19/03/2021 18/03/2021 17/03/2021 16/03/2021 15/03/2021 12/03/2021 11/03/2021 10/03/2021 09/03/2021 08/03/2021 05/03/2021 4079.95 4073.94 4077.91 4019.87 3972.89 3958.55 3971.09 3974.54 3909.52 3889.14 3910.52 3940.59 3913.1 3915.46 3974.12 3962.71 3968.94 3943.34 3939.34 3898.81 3875.44 3821.35 3841.94 489011089 571848602 594159826 549284531 790771508 549283687 636567073 719734914 632391622 612118414 666674313 677313651 2323804160 700494694 652793730 606621337 599944987 590613509 633849717 670320910 709867490 756663265 829073409 80 81 82 83 84 85 86 87 88 89 B C D E G H 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 05/03/2021 04/03/2021 03/03/2021 02/03/2021 01/03/2021 26/02/2021 25/02/2021 24/02/2021 23/02/2021 22/02/2021 19/02/2021 13/02/2021 17/02/2021 16/02/2021 12/02/2021 11/02/2021 10/02/2021 09/02/2021 08/02/2021 05/02/2021 04/02/2021 03/02/2021 02/02/2021 3841.94 3768.47 3819.72 3870.29 3901.82 3811.15 3829.34 3925.43 3881.37 3876.5 3906.71 3913.97 3931.33 3932.59 3934.83 3916.38 3909.88 3911.23 3915.59 3886.83 3871.74 3830.17 3826.31 829073409 851214121 684624424 625677987 633792526 961817673 712863893 697584269 755513123 692050940 665244935 520398470 542976243 593684504 458852302 586186522 559418199 485445853 573323029 537391393 611413717 617247578 647254387 Shant1 111 3826.31 112 113 114 115 116 117 118 119 120 121 122 123 02/02/2021 01/02/2021 29/01/2021 28/01/2021 27/01/2021 26/01/2021 25/01/2021 22/01/2021 21/01/2021 20/01/2021 19/01/2021 15/01/2021 14/01/2021 13/01/2021 12/01/2021 11/01/2021 08/01/2021 07/01/2021 06/01/2021 05/01/2021 04/01/2021 31/12/2020 3773.86 3714.24 3787.38 3750.77 3849.62 3855.36 3841.47 3853.07 3851.85 3798.91 3768.25 3795.54 3809.84 3801.19 3799.61 3824.68 3803.79 3748.14 3726.86 3700.65 3756.07 647254387 630171700 1022917103 846769912 967706350 590568091 675231340 621450991 620776708 644495073 683059345 852165927 678176083 604769130 658562767 613612883 649780644 706082190 827613906 603798418 761648794 499581043 124 125 126 127 128 129 130 131 132 Paste BIU A Merge & Center % Insert Delete Format Conditional Format as Cell Formatting Table Styles - Styles Clipboard 54 Font Alignment Number Cells 89 4291.8 N B 0 G P D M H 0 E F TOS 11/01 2031 08/01/2021 07/01/2001 06/01 2021 05/01/2021 04.01.2021 31/12/2020 3799 61 3804 68 330379 3748.14 3726.86 3700.55 3756 07 C 513612883 549780644 705082190 827613905 503798415 761648794 499581043 157 134 USE THE ABOVE DATA TO Calculate below 105 2) Calculate daily returns over the sample period. 137 138 3) Divide two sample periods: in-sample (an. 1. 2021 - May 31, 2021), out-of-sample (un. 1, 2021-Jun 30, 2021) 139 140 4) Compute "mean" and "standard deviation for the daily returns using only over the in-sample period. 147 142 5) Calculate the 1-day VaR (93%) on a percentage basis using the calculated mean and standard deviation 143 6) Using the out-of-sample period, count the number of days showing daily returns are beyond the 1-day VaR. Do you think that the 1-day VaR would be good to measure downsidensk? 145 148 147 148 149 150 151 152 153 154 155 Sheet1 1640 Ready o 8 4291.8 E F H A B D 1 Security SPX Index 2 Start Date 31/12/2020 00:00 3 End Date 30/06/2021 00:00 4 Period D 5 Currency USD 6 7 Date PX_LAST PX_VOLUME 8 30/06/2021 4297.5 586723611 0.001328 9 29/06/20211 4291.8 464266876 10 28/06/2021 4290.61 534470535 11 25/06/2021 4280.7 1020842135 12 24/06/2021 4266.49 488899252 13 23/06/2021 4241.84 476502799 14 22/06/2021 4246.44 518151273 15 21/06/2021 4224.79 585617106 16 18/06/2021 4166.45 1602813284 17 17/06/2021 4221.86 692607231 18 16/06/2021 4223.7 608208040 19 15/06/2021 4246.59 496016796 20 14/06/2021 4255.15 502609179 21 11/06/2021 4247.44 466454827 22 10/06/2021 4239.18 514102430 23 09/06/2021 4219.55 490279644 Sheet1 1 1 1 A B E 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 09/06/2021 08/06/2021 07/06/2021 04/06/2021 03/06/2021 02/06/2021 01/06/2021 28/05/2021 27/05/2021 26/05/2021 25/05/2021 24/05/2021 21/05/2021 20/05/2021 19/05/2021 18/05/2021 17/05/2021 14/05/2021 13/05/2021 12/05/2021 11/05/2021 10/05/2021 07/05/2021 4219.55 4227.26 4226.52 4229.89 4192.85 4208.12 4202.04 4204.11 4200.88 4195.99 4188.13 4197.05 4155.86 4159.12 4115.68 4127.83 4163.29 4173.85 4112.5 490279644 582092984 467143647 465931759 560056029 552370467 556072392 583005905 1294689893 565352447 536415469 491196272 661555886 570286974 669726651 582592424 571758354 501702759 574425439 652754704 601429054 627898357 541938360 41 42 43 4063.04 4152.1 4188.43 4232.6 44 45 45 46 47 48 49 50 51 52 53 54 55 56 57 07/05/2021 06/05/2021 05/05/2021 04/05/2021 03/05/2021 30/04/2021 29/04/2021 28/04/2021 27/04/2021 26/04/2021 23/04/2021 22/04/2021 21/04/2021 20/04/2021 19/04/2021 16/04/2021 15/04/2021 14/04/2021 13/04/2021 12/04/2021 09/04/2021 08/04/2021 07/04/2021 Shoot1 4232.6 4201.62 4167.59 4164.66 4192.66 4181.17 4211.47 4183.18 4186.72 4187.62 4180.17 4134.98 4173.42 4134.94 4163.26 4185.47 4170.42 4124.66 4141.59 4127.99 4128.8 4097.17 4079.95 541938360 601702899 574161146 647398683 574622074 738271693 603848011 555786121 518563989 535480152 530028545 586661634 552948853 542835759 545994739 670059948 556701817 547124390 523803668 526549650 510310239 542499615 489011089 58 59 60 61 62 63 64 65 66 67 67 68 69 70 71 72 73 74 75 76 77 78 79 07/04/2021 06/04/2021 05/04/2021 01/04/2021 31/03/2021 30/03/2021 29/03/2021 26/03/2021 25/03/2021 24/03/2021 23/03/2021 22/03/2021 19/03/2021 18/03/2021 17/03/2021 16/03/2021 15/03/2021 12/03/2021 11/03/2021 10/03/2021 09/03/2021 08/03/2021 05/03/2021 4079.95 4073.94 4077.91 4019.87 3972.89 3958.55 3971.09 3974.54 3909.52 3889.14 3910.52 3940.59 3913.1 3915.46 3974.12 3962.71 3968.94 3943.34 3939.34 3898.81 3875.44 3821.35 3841.94 489011089 571848602 594159826 549284531 790771508 549283687 636567073 719734914 632391622 612118414 666674313 677313651 2323804160 700494694 652793730 606621337 599944987 590613509 633849717 670320910 709867490 756663265 829073409 80 81 82 83 84 85 86 87 88 89 B C D E G H 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 05/03/2021 04/03/2021 03/03/2021 02/03/2021 01/03/2021 26/02/2021 25/02/2021 24/02/2021 23/02/2021 22/02/2021 19/02/2021 13/02/2021 17/02/2021 16/02/2021 12/02/2021 11/02/2021 10/02/2021 09/02/2021 08/02/2021 05/02/2021 04/02/2021 03/02/2021 02/02/2021 3841.94 3768.47 3819.72 3870.29 3901.82 3811.15 3829.34 3925.43 3881.37 3876.5 3906.71 3913.97 3931.33 3932.59 3934.83 3916.38 3909.88 3911.23 3915.59 3886.83 3871.74 3830.17 3826.31 829073409 851214121 684624424 625677987 633792526 961817673 712863893 697584269 755513123 692050940 665244935 520398470 542976243 593684504 458852302 586186522 559418199 485445853 573323029 537391393 611413717 617247578 647254387 Shant1 111 3826.31 112 113 114 115 116 117 118 119 120 121 122 123 02/02/2021 01/02/2021 29/01/2021 28/01/2021 27/01/2021 26/01/2021 25/01/2021 22/01/2021 21/01/2021 20/01/2021 19/01/2021 15/01/2021 14/01/2021 13/01/2021 12/01/2021 11/01/2021 08/01/2021 07/01/2021 06/01/2021 05/01/2021 04/01/2021 31/12/2020 3773.86 3714.24 3787.38 3750.77 3849.62 3855.36 3841.47 3853.07 3851.85 3798.91 3768.25 3795.54 3809.84 3801.19 3799.61 3824.68 3803.79 3748.14 3726.86 3700.65 3756.07 647254387 630171700 1022917103 846769912 967706350 590568091 675231340 621450991 620776708 644495073 683059345 852165927 678176083 604769130 658562767 613612883 649780644 706082190 827613906 603798418 761648794 499581043 124 125 126 127 128 129 130 131 132 Paste BIU A Merge & Center % Insert Delete Format Conditional Format as Cell Formatting Table Styles - Styles Clipboard 54 Font Alignment Number Cells 89 4291.8 N B 0 G P D M H 0 E F TOS 11/01 2031 08/01/2021 07/01/2001 06/01 2021 05/01/2021 04.01.2021 31/12/2020 3799 61 3804 68 330379 3748.14 3726.86 3700.55 3756 07 C 513612883 549780644 705082190 827613905 503798415 761648794 499581043 157 134 USE THE ABOVE DATA TO Calculate below 105 2) Calculate daily returns over the sample period. 137 138 3) Divide two sample periods: in-sample (an. 1. 2021 - May 31, 2021), out-of-sample (un. 1, 2021-Jun 30, 2021) 139 140 4) Compute "mean" and "standard deviation for the daily returns using only over the in-sample period. 147 142 5) Calculate the 1-day VaR (93%) on a percentage basis using the calculated mean and standard deviation 143 6) Using the out-of-sample period, count the number of days showing daily returns are beyond the 1-day VaR. Do you think that the 1-day VaR would be good to measure downsidensk? 145 148 147 148 149 150 151 152 153 154 155 Sheet1 1640 Ready o 8