6. Estimate the EVT model on the standardized portfolio returns using the Hill estimator. Use the 5% largest losses to estimate EVT. (Excel Hint: Use the PERCENTILE function to calculate the pth quantile of a series.) Calculate the 0.01% standardized return quantile implied by each of the following models:

normal, t (d), EVT, and Cornish-Fisher. Notice how different the 0.01% VaRs would be from these four models.