{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

# hw1 - AMS517 Homework 1(Due Feb 24 1 The file intel d...

This preview shows pages 1–2. Sign up to view the full content.

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: AMS517 Homework 1 (Due Feb 24) 1. The file intel d logret.txt contains daily log returns of Intel stock from July 9, 1986 to June 29, 2007. Compute the 99% 1-day and 10-day VaR for a long position of \$1 million using the following methods: (a) GARCH(1 , 1) model with standard normal t ; (b) ARMA(1 , 1)-GARCH(1 , 1) model with t having the standardized Student t-distribution whose degrees of freedom are to be estimated from the data; (c) the GEV distribution for extreme (negative) returns with subperiod length of 20 trading days. 2. Consider a European call option with parameters as follows: current stock price S , strike K , risk-free rate r , volatility rate σ , and time to maturity T years. Assuming a geometric Brownian motion for the stock price process S t , use the delta-normal valuation to compute the 95% VaR and ES over a horizon of 5 days for (a) a short position and (b) a long position....
View Full Document

{[ snackBarMessage ]}

### Page1 / 2

hw1 - AMS517 Homework 1(Due Feb 24 1 The file intel d...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online