Financial Statistics Excel Assignment

Financial Statistics Excel Assignment

Excel Assignment

Excel Assignment:

1) Download S&P500 daily index prices from Jan.1, 2021, to Jun. 30, 2021, using Bloomberg terminal.

– Type “SPX Index DES” in the command line

– Type “HP” in the command line

– Set data range and period. That is “01/01/2021 – 06/30/2021” and “Daily”

– Export data to excel by clicking “Export” in the red line menu.

2) Calculate daily returns over the sample period.

3) Divide two sample periods: in-sample (Jan.1, 2021 – May. 31, 2021), out-of-sample (Jun. 1, 2021- Jun.30, 2021)

4) Compute “mean” and “standard deviation” for the daily returns using only over the in-sample period.

5) Calculate the 1-day VaR (99%) on a percentage basis using the calculated mean and standard deviation.

6) Using the out-of-sample period, count the number of days showing daily returns are beyond the 1-day VaR. Do you think that the 1-day VaR would be good to measure downside risk?

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Financial Statistics Excel Assignment Financial Statistics Excel Assignment

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