Someone please help.

I have an assignment due in a few hours and I'm really stuck with 2c. I don't even know if my answers for number 2 are correct anyway. Could someone please let me know what they think I can do?

GARCH and Value-at-Risk. Returns of your investment portfolio is perfectly corre- lated with the returns of S&P 500 Index. To assesses the riskiness of your portfolio, you evaluate the `worst-case-scenario' performance using the Value-at-Risk (VaR) metric. a. Explain the concept of VaR and provide the formula for computing it. b. Given the daily return data from the GARCH estimation example discussed in class (parameter selection.m), compute the volatility of demeaned returns. Next, assuming that the returns follow the normal distribution, compute 5% VaR. c. Use the Monte Carlo method to estimate the VaR in the GARCH(1,1) model. First, simulate the market return using the estimated model. Choose the length of the simulated return time series equal to the return time series used during the estimation. Compute VaR for the simulated returns. Repeat the simulation procedure 10,000 times. d. Provide the histogram of the VaR values over 10,000 simulations, add a vertical line at the level of the VaR value computed in b.. Comment on your results. 1

[Elias Ghechi]

This is where the data is from

url = 'https://fred.stlouisfed.org/'; c = fred(url) ; series = 'SP500';

startdate = '01/01/1970'; enddate = '06/01/2017'; d = fetch(c,series,startdate,enddate,'d'); close(c);

dt = year(d.Data(:,1)).*10000 + month(d.Data(:,1))*100 + day(d.Data(:,1)); dt_raw = d.Data(:,1); sp_price = d.Data(:,2);