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StockCurve
VaR
Value at Risk for Dow Jones Industrial Average stock price
Value at Risk for X=1 (confidence level) and time horizon N=10 in integers of 5 minutes (50 minutes):
0E-61
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.