Market Risk Analysis

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Market Risk Analysis

Instructions

The take home will be a Group Work:

The class will be split into groups of 4 students max

Each group will prepare an excel file to illustrate the various computations and a pdf report (no word file allowed so please save your word file as a pdf before submission) with their comments and answers to the questions assigned below

Justifications behind each answer’s reasoning must appear clearly in the answers: no point will be granted without clear explanations

Please send your pdf report to the following URKUND address to check for plagiarism: r. .deguest . .comieseg@analyseurkund

Attempted plagiarism between groups will be severely punished and will lead to a disciplinary com- mittee hearing (for all team members equally)

Late submissions will receive a 0

1 Volatility Estimation with Moving Average Models (6 points)

a. (1 point) Download the NASDAQ 100 equity index closing prices (from Bloomberg or Refinitiv or yahoo finance) over the period between 2005-12-30 and