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Unformatted text preview: .74 7 -0.74 7 -0.74 5 -0.74 5 -0.74 3 -0.737 -0.735 -0.734 -0.731 -0.730 -0.726 -0.723 -0.718 -0.718 -0.713 -0.712 -0.711 -0.709 -0.709 -0.705 -0.705 -0.705 -0.704 -0.701 -0.6 9 9 -0.6 9 9 -0.6 9 9 -0.6 9 7 -0.6 9 6 -0.6 9 5 -0.6 9 1 -0.6 88 -0.6 85 -0.6 84 -0.6 80 -0.6 77 -0.6 75 -0.6 75 -0.6 74 -0.6 72 -0.6 71 -0.6 71 -0.6 6 9 -0.6 6 9 -0.6 6 2 -0.6 6 1 -0.6 59 -0.6 59 -0.6 59 -0.6 58 -0.6 57 -0.6 57 -0.6 57 -0.6 56 -0.6 55 -0.6 54 -0.6 53 -0.6 50 -0.6 4 9 -0.6 4 9 -0.6 4 8 -0.6 4 6 -0.6 4 3 -0.6 4 2 -0.6 39 -0.6 38 -0.6 38 -0.6 37 -0.6 36 -0.6 35 -0.6 35 -0.6 32 -0.6 31 -0.6 31 -0.6 30 -0.6 29 -0.6 28 -0.6 27 -0.6 26 -0.6 25 -0.6 24 -0.6 19 -0.6 15 -0.6 14 -0.6 11 -0.6 09 -0.6 09 -0.6 09 -0.6 05 -0.6 05 -0.6 03 -0.6 02 -0.6 02 -0.6 02 -0.6 01 -0.59 9 -0.59 7 -0.59 6 -0.59 6 -0.59 3 -0.59 3 -0.59 3 -0.59 2 -0.59 1 -0.59 1 -0.589 -0.589 -0.588 3.258 0.3814 1 3.237 0.374 9 7 3.212 0.36 710 3.16 5 0.35230 3.152 0.34 826 3.14 7 0.34 6 6 5 3.128 0.34 082 3.007 0.30108 2.9 6 1 0.28572 2.9 34 0.276 75 2.84 3 0.24 510 2.819 0.236 6 5 2.783 0.2239 2 2.76 0 0.21553 2.731 0.204 87 2.6 9 8 0.19 29 0 2.6 76 0.184 6 0 2.6 56 0.17717 2.6 25 0.16 522 2.6 21 0.16 380 2.56 7 0.14 305 2.56 6 0.14 26 0 2.54 6 0.134 79 2.515 0.12250 2.512 0.12131 2.511 0.12102 2.502 0.11732 2.4 74 0.106 17 2.4 6 9 0.104 17 2.4 6 4 0.1019 2 2.4 4 9 0.09 6 09 2.4 4 8 0.09 54 0 2.4 37 0.09 09 4 2.39 2 0.07231 2.378 0.06 6 53 2.36 5 0.06 118 2.351 0.05517 2.322 0.04 252 2.313 0.03873 2.29 8 0.03236 2.286 0.026 9 5 2.286 0.026 9 4 2.26 3 0.016 81 2.24 5 0.00884 Hill Estimator u -2.225 ξ 50 0.2151 0.8187 c Quantile (q) 0.9 9 VaR-EVT 0.0355 VaR-CF VaR-Normal 0.0379 5 0.03204 0.04 33 0.04 6 29 0.04 27 0.04 56 0 0.04 4 0 0.04 6 9 9 0.0503 0.05377 0.039 07 0.03850 0.039 6 7 0.04 539 0.04 9 2 0.05256 0.04 70 0.04 4 1 0.04 12 0.04 15 0.039 2 0.0377 0.034 8 0.034 8 0.0338 0.0312 0.029 9 0.0302 0.029 9 0.0280 0.026 3 0.026 9 0.0254 0.0300 0.0286 0.0282 0.029 5 0.0302 0.0330 0.0306 0.0319 0.0315 0.029 4 0.034 2 0.0381 0.04 21 0.04 13 0.04 13 0.0380 0.0387 0.04 13 0.039 9 0.04 00 0.0379 0.0353 0.0333 0.0320 0.0388 0.0528 0.04 9 0 0.054 8 0.0522 0.0557 0.0515 0.056 6 0.059 4 0.0584 0.0539 0.0505 0.04 6 3 0.0518 0.0512 0.04 80 0.04 9 6 0.0585 0.0574 0.0530 0.056 6 0.0535 0.04 9 0 0.04 80 0.04 4 4 0.04 38 0.04 09 0.0388 0.036 0 0.0370 0.039 9 0.04 18 0.0386 0.036 6 0.0338 0.0335 0.0309 0.029 9 0.0332 0.0306 0.0303 0.029 9 0.0301 0.029 4 0.0304 0.029 2 0.0284 0.0273 0.026 2 0.0250 0.0232 0.0233 0.0273 0.026 1 0.0287 0.029 8 0.0333 0.0314 0.029 9 0.0283 0.026 1 0.0282 0.026 6 0.0284 0.029 7 0.0288 0.0309 0.0351 0.0351 0.0353 0.0337 0.0315 0.029 1 0.0308 0.0312 0.0307 0.0310 0.0286 0.0282 0.026 2 0.0259 0.0286 0.0352 0.0331 0.036 0 0.0353 0.0325 0.0306 0.0326 0.0303 0.0308 0.029 0 0.029 1 0.0330 0.036 6 0.0336 0.0312 0.0300 0.029 4 0.0278 0.026 4 0.0251 0.0257 0.0282 0.026 9 0.0313 0.0305 0.0287 0.0278 0.0280 0.029 0 0.0277 0.0318 0.029 8 0.0322 0.0302 0.0300 0.0277 0.0282 0.0316 0.0336 0.0374 0.0356 0.034 8 0.034 0 0.039 7 0.04 37 0.04 1...
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This note was uploaded on 09/13/2013 for the course FINANCE 225 taught by Professor Aureliovasquez during the Winter '13 term at Instituto Tecnológico de Santo Domintgo.

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