Values for the NASDAQ composite index during the 1,500 days preceding March 10, 2006, can be downloaded from the author's website. Calculate the 1-day 99% VaR on March 10, 2006, for a $10 million portfolio invested in the index using

(a) the basic historical simulation approach,

(b) the exponential weighting scheme in Section 9.3 with = 0.995,

(c) the volatility updating scheme in Section 9.3 with = 0.94 (assume that the volatility is initially equal to the standard deviation of daily returns calculated from the whole sample),

(d) extreme value theory with u = 0.03,

(e) a model where daily returns are assumed to be normally distributed (use both an approach where observations are given equal weights and the EWMA approach with

= 0.94 to estimate the standard deviation of daily returns). Discuss the reasons for the differences between the results you get.