You hold 1000 shares in BHP currently trading at $24.50.Using the latest 500 daily observations you estimate thevolatility to be approximately 30% per annum. What isthe 99% confidence interval for the 99% daily VaR forBHP? (Assume 252 trading days in a year)

Step 1:Using the provided annual volatility, I computed the daily volatility. Using the following…

Answered: You hold 1000 shares in BHP currently…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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You hold 1000 shares in BHP currently trading at $24.50. Using the latest 500 daily observations you estimate the volatility to be approximately 30% per annum. What is the 99% confidence interval for the 99% daily VaR for BHP? (Assume 252 trading days in a year)