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Calculate and plot the daily empirical

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Suppose a portfolio manager holds a position of ten million dollars ($10million) in the market portfolio given by your company stock. Calculate and plot the daily empirical 99% Conditional-Value-at-Risk of this portfolio for T1+1, · · · , T for both GJR and EGARCH. Comment on the differences between these two series of VaRs and how the two have evolved over time since March 1st, 2020.

Reference no: EM133003225

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