Hello, dear friend, you can consult us at any time if you have any questions, add WeChat: daixieit

• This assignment must be submitted on Moodle by 11:55pm on 20 Oct (Friday, week 12).

• This is an individual assignment.

• This assignment will be marked out of 10.

• In this assignment, you are required to analyze the one-day Value-at-risk (VaR) of an individual stock and write a report of your analysis.

• Choose one stock that you are interested in. Make sure the stock has as least 10 years of historical data can can be downloaded from Yahoo using quantmod in R. For example, you can choose APPLE (Ticker: AAPL), Microsoft (Ticker: MSFT), or NVIDIA (Ticker: NVDA). Do not use index ETFs such as SPY or QQQ.

• Download daily prices of your chosen stock spanning 10 years from 1 Sep 2013 to 31 Aug 2023). Transform the adjusted-close price to daily returns expressed in percentages. Write down a brief description of your data. Present descriptive statistics of the returns, such as mean/variance/skewness/kurtosis.

• Divide your data into a 5 year in-sample period and a 5 year out-of-sample period. Specifically, the in-sample period would be from 1 Sep 2013 to 31 Aug 2018, and the out-of-sample period would be from 1 Sep 2018 to 31 Aug 2023.

• Fit at least two models to the returns in the in-sample period. Restrict the mean equation to the constant conditional mean, i.e., use rt = µ + εt, εt = σtzt, and choose your specification for the conditional variance σt 2 and the distribution for the shocks zt. For example, you may choose ARCH(1) and GARCH(1,1). Alternatively, you may choose GARCH(1,1) and TARCH(1,1)-t(ν) model. Describe the models you choose, state your reasons for choosing these models, present the model estimates, and compare the in-sample fit of your models. If you have estimated more than two models for the in-sample periods, select only two models for out-of-sample forecasting and explain why you selected them.

• Compute and present in graph the one-day 1% Value-at-risk (VaR) of your stock in the out-of-sample period. Use the two models you selected from the last step to compute the VaR. Comment on the VaR you obtained from different models.

• Limit your word count to 1000 and page number to 3. Be concise, and refrain from using too many equations/figures.