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for stock - QAN

Statistics

for stock - QAN.ASX (01.01.2000 to 01.06.2020).<br/>(a) Assuming a

normal distribution, calculate the 1-month 98% VaR and ES. Interpret these values.
(b) Calculate the six-month 98% VaR for your designated stock using a bootstrapping procedure in Excel assuming independence in monthly returns. Use 200 bootstrapped samples. Present a histogram of the bootstrap distribution of portfolio values. Comment on your findings.
(c) Suppose a portfolio is created that comprises of $50,000 invested in your designated stock, $25,000 in ^AXJO and $25,000 in CBA.AX. Calculate the six-month 98% VaR for your designated stock using a bootstrapping procedure. Assume independence in returns over time, but that your designated stock may be correlated with ^AXJO and CBA.AX. Use 200 bootstrapped samples. Present a histogram of the bootstrap distribution of portfolio values. Comment on your findings.
(d) Following from (c). Calculate the six-month 98% VaR for your portfolio ($50,000 invested in your designated stock, $25,000 in ^AXJO and $25,000 in CBA.AX) using a block bootstrapping procedure that assumes serial correlation of returns of 3 months. Assume that your designated stock may be correlated with ^AXJO and CBA.AX. Use 200 bootstrapped samples. Present a histogram of the bootstrap distribution of portfolio values. Comment on your findings.

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