Using the ken french daily data on the market risk

Reference no: EM13257743

(a) Using the Ken French daily data on the market risk premium Rm-Rf back to 1926 (posted in UBLearns), sort the returns and estimate the standard deviation.

(b) Using the history of sorted actual returns, find (i) the 1 day 95% VAR for the market risk premium and (ii) the 1 day 99.5% VAR for the market risk premium

(d) Using your estimate from part (a) for the std dev and assuming a mean of 0, what is the 30 day 95% VAR and 99.5% VAR using the normal distribution as the model for stock returns? (hint: for the 95%VAR use =norminv(.05,0,std dev) find the 1 day VAR)

Reference no: EM13257743

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