An investor is interested in daily value at risk of his position on holding long \$0.5 million of Dell stock and \$1 million of Cisco Systems stock. Use \(5 \%\) critical values and the daily log returns from February 20, 1990, to December 31, 1999, to do the calculation. The data are in the file ddellcsco9099.txt. Apply the three approaches to volatility modeling in Section 10.7 and compare the results.

Section 10.7:

The file \(\mathrm{m}\)-spibmge.txt contains the monthly log returns in percentages of the S&P composite index, IBM stock, and GE stock from January 1926 to December 1999. Focus on GE stock and the S&P 500 index. Build a time-varying correlation GARCH model for the bivariate series using a logistic function for the correlation coefficient. Check the adequacy of the fitted model, and obtain the 1-step-ahead forecast of the covariance matrix at the forecast origin December 1999.