Learning Exercise 3<\/p>\n
Value at Risk<\/p>\n
Instructions: Complete this assignment by downloading the data and then answering the questions in this word document. Then submit it electronically on class.pace.edu website. <\/p>\n
Note: Submission is set only before the deadline. Late assignments can\u2019t be submitted.<\/p>\n
Get the daily closing prices data for SPDR Gold Shares (GLD), Financial Sector SPDR Fund (XLF) and SP500 (^GSPC) from finance.Yahoo for the period 2005-01-01 to 2020-12-31. Create the returns variable for each series and plot graphs.<\/p>\n
For each asset (GLD, XLF, and ^GSPC) assume that you have a position of $1,000,000. What was the 1% one day Value at Risk for each asset when the market opened on Monday, January 4, 2021? <\/p>\n
Using the quantile from one year history <\/p>\n
Using the quantile from five-year history <\/p>\n
Using the quantile from ten-year history <\/p>\n
Using the quantile from the full data set <\/p>\n
Using the normality assumption and a GARCH(1,1) model<\/p>\n
Using the GJR-GARCH model with normality<\/p>\n
Using the GJR-GARCH model with bootstrapped residuals<\/p>\n
2. Go to VLAB (http:\/\/vlab.stern.nyu.edu\/) and <\/p>\n
A. find the volatility forecasts one day and one year ahead for the following assets using the GJR-GARCH model. Make sure to state the date when you get the forecasts from VLAB.<\/p>\n
S&P500<\/p>\n
Ibovespa Brasil Sao Paulo Stock Exchange Index<\/p>\n
Barclays US Aggregate Government Index<\/p>\n
Tesla<\/p>\n
MBIA<\/p>\n
Euro Exchange rate<\/p>\n
iShares Cohen & Steers REIT ETF<\/p>\n
Bitcoin to US Dollar\u00a0<\/p>\n
B. Describe why these numbers are consistent with the information based description of asset volatility for each of the assets.<\/p>\n","protected":false},"excerpt":{"rendered":"
Learning Exercise 3 Value at Risk Instructions: Complete this assignment by downloading the data and then answering the questions in this word document. Then submit it electronically on class.pace.edu website. Note: Submission is set only before the deadline. Late assignments can\u2019t be submitted. Get the daily closing prices data for SPDR Gold Shares (GLD), Financial […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[10],"class_list":["post-79297","post","type-post","status-publish","format-standard","hentry","category-research-paper-writing","tag-writing"],"_links":{"self":[{"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/posts\/79297","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/comments?post=79297"}],"version-history":[{"count":0,"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/posts\/79297\/revisions"}],"wp:attachment":[{"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/media?parent=79297"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/categories?post=79297"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/tags?post=79297"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}