Using normal distribution and riskmetrics

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Reference no: EM131315802

Download a market index (Pt denotes the index at day t) in 2013-2014 of the Hong Kong. US or UK markets. Define the return of investment by Rt = (P_t - P_t-1)/P_t-1. Using normal distribution and RiskMetrics, obtain 5% and 1% daily VaR in 2013-2014. how can we assess the performance of the two sets of VaRs?

Reference no: EM131315802

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Using normal distribution and riskmetrics : Download a market index (Pt denotes the index at day t) in 2013-2014 of the Hong Kong. US or UK markets. Define the return of investment by Rt = (P_t - P_t-1)/P_t-1. Using normal distribution and RiskMetrics, obtain 5% and 1% daily VaR in 2013-2014. ..

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