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You can choose any stock as your preference ;) thank you II Collect 5 years daily prices for any stock you are interested in: Compute
You can choose any stock as your preference ;) thank you
II Collect 5 years daily prices for any stock you are interested in: Compute N-Day returns (N could be set to any number you are interested with); Specify an xth percentile, e.g. 5th percentile. Then do the following steps one by one. 1) compute the mean and the standard deviation of your return series. (6) 2) Assuming that retum series follows a normal distribution, given the mean and the standard deviation computed above, you can identify the xth percentile of returns distribution, which is the x% VAR. (Some textbooks refer it as the (1-x%) VAR. You can check statistical tables or use softwares for correspondent percentile of a standard normal distribution.) (6) 3) Sort the N-day return series from the lowest value to the highest value and identify the xth percentile. (6) Note: you don't have to present the data or the time series. II Collect 5 years daily prices for any stock you are interested in: Compute N-Day returns (N could be set to any number you are interested with); Specify an xth percentile, e.g. 5th percentile. Then do the following steps one by one. 1) compute the mean and the standard deviation of your return series. (6) 2) Assuming that retum series follows a normal distribution, given the mean and the standard deviation computed above, you can identify the xth percentile of returns distribution, which is the x% VAR. (Some textbooks refer it as the (1-x%) VAR. You can check statistical tables or use softwares for correspondent percentile of a standard normal distribution.) (6) 3) Sort the N-day return series from the lowest value to the highest value and identify the xth percentile. (6) Note: you don't have to present the data or the time series Step by Step Solution
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