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Estimate the volatility per day of microsoft

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Reference no: EM133057206

Consider a portfolio with $10 million in shares of Microsoft. Assume that Microsoft stock price follows a Geometric Brownian motion with an expected return of 0 and a volatility (per annum) of 32%.

(i) Estimate the volatility per day of Microsoft.

(ii) Estimate the 1-day 99% VaR for the portfolio. Assume that the 1-percentile of standard normal is z0.01 = -2.33.

Reference no: EM133057206

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