Provide an estimation of the daily var

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Reference no: EM132783242

Problem 1: The client has collected the daily prices for the last month of Bata stock and has computed the mean daily return to be 0.00085 and daily standard deviation to be 0.00111. Assuming the investment under consideration is K1M, provide an estimation of the following using the Variance-Covariance method:

I. The daily VaR at 5% level of significance;

II. The monthly VaR at 5% level of significance; and

III. The annual VaR at 5% level of significance.

Reference no: EM132783242

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