(16 points) Consider a sample of 400 daily returns on various stocks. In this sample, the worst six daily stock returns

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16 Points Consider A Sample Of 400 Daily Returns On Various Stocks In This Sample The Worst Six Daily Stock Returns 1 (35.13 KiB) Viewed 42 times

(16 points) Consider a sample of 400 daily returns on various stocks. In this sample, the worst six daily stock returns of GE and GM are as follows: Day GE Return GM Return 11 -2% -12% 48 -4% -6% 87 -3% -5% 199 -1% -11% 323 -5% -1% 395 -14% -2% Notes: • The values in the table are sorted by the day (not by the return). • The day where the ph worst stock return of GE occurs possibly differs from the day where the p worst stock return of GM occurs. • You can ignore the other 394 -400 - 6) daily returns on GE and GM. Using the historical simulation approach, estimate the VaR (at the 99% confidence level) of an equally weighted portfolio that: (1) is valued at $60,000; and (2) involves only the stocks of GE and GM.