Does it make sense to use a log-normal distribution

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Reference no: EM133331656

Question: I am asked to calculate the daily and monthly VaR for the SPY etf, using the parametric approach. The guidelines say to consider a log-normal distribution as needed.

1) Since the parametric approach is based on variance-covariance, how do I go about using this approach with only one security?
2) Does it make sense to use a log-normal distribution? I tried using the LOGNORM.INV function on Excel to compute the z scores from the confidence levels, but the results did not look right. Perhaps I used it wrong.

Reference no: EM133331656

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