Value at Risk for Danske Bank stock price

Value at Risk for X=1 (confidence level) and time horizon N=10 in integers of 5 minutes (50 minutes):

-0.4432655514181278643692670809

Description: one stock is assumed as market variable. It is assumed that percentage changes during time of historical data are the same as percentage change to the next, V_n, unknown market value V_n/V_(n-1) = V_i/V_(i-1). Historical data is taken from a stock price curve shown on second figure. Ten-5-min VaR is computed as sqrt(10) times one-5-min VaR.

Histogram of Losses (DKK)

Description: losses have been computed for every scenario derived by subtracting V_(n-1).

Stock price (DKK)

Description: historical data is taken from a stock price curve during open market hours where scraping was done every 5 minutes.