R Studio : install.packages("QRM") library(QRM) set.seed(150) AAA <- rnorm(50,50,0.3) logreturns <- diff(log(AAA)) Assuming...
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R Studio :
install.packages("QRM") library(QRM)
set.seed(150) AAA <- rnorm(50,50,0.3) logreturns <- diff(log(AAA))
Assuming that the daily log returns for AAA Inc. follow normal distribution, the 99% VaR is: a.-0.02002137 b.-0.02235154 c.-0.02608716 d.-0.02174024
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You can see the logs in the Dashboard.