Using the ken french daily data on the market risk

Assignment Help Finance Basics

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

Questions Cloud

What will be the percentage increase in company earnings : Maxvill Motors has annual sales of $15,000. Its variable costs equal 60% of its sales and its fixed costs equal $1,000. If the company's sales increase 10%, what will be the percentage increase in the company's earnings before interest and taxes (..

What will be the companys return on equity : Under these conditions, the tax rate will be 40%. If the changes are made, what will be the company's return on equity? Round your answer to two decimal places.

What is the tangential velocity of the wrist : An individuals arm segment is 0.15m long and has an angular velocity of 123 degrees per second. What is the tangential velocity of the wrist?

Choose which criminal profession you will use to be analyzed : choose which criminal profession you will use to be analyzed and written about in a persuasive way with the Professor your audience.

Using the ken french daily data on the market risk : 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.

Primary operating expenses : the primary operating expenses (such as employee wages, utilities, and repairs and maintenance) for the year were $66347000 with $60200000 paid in cash and the rest on account

Crime that is considered a cornerstone of community policing : What is the most promising and most important method of dealing with crime that is considered a cornerstone of community policing? Which of the following is critical to the success of strategic planning in a police agency? Which strategy addressing g..

What is the average power consumed by this circuit : The rms current in an ac circuit with a resistance of 140 is 0.88 A. What is the average power consumed by this circuit

Determine the frequency response h of lti system : Consider the casual LTI system where the output relates to the input by the following differential equation: dy(t)/dt + 2y(t) = x(t) a) Determine the frequency response H(jw).

User Account

All Pages