Message-ID: <1264494316707-1290132.post@n4.nabble.com>
Date: 2010-01-26T08:25:16Z
From: Christofer Bogaso
Subject: Need help please
Dear folks,
I got a very notorious weekly price series where price seldom changes like :
6-Jan-92 4.38
13-Jan-92 4.38
20-Jan-92 4.38
27-Jan-92 4.38
3-Feb-92 4.38
10-Feb-92 4.38
17-Feb-92 4.38
24-Feb-92 4.38
2-Mar-92 4.38
9-Mar-92 4.38
16-Mar-92 4.38
23-Mar-92 4.38
30-Mar-92 4.38
6-Apr-92 4.38
13-Apr-92 4.38
20-Apr-92 6.56
27-Apr-92 6.56
4-May-92 6.56
11-May-92 6.56
18-May-92 6.56
25-May-92 6.56
1-Jun-92 6.56
8-Jun-92 6.63
15-Jun-92 6.63
22-Jun-92 6.63
29-Jun-92 6.63
6-Jul-92 6.63
13-Jul-92 6.63
20-Jul-92 6.99
27-Jul-92 6.99
3-Aug-92 6.99
10-Aug-92 6.99
17-Aug-92 6.99
24-Aug-92 6.99
31-Aug-92 6.99
7-Sep-92 6.99
14-Sep-92 6.99
21-Sep-92 6.99
28-Sep-92 6.99
5-Oct-92 6.99
12-Oct-92 6.99
19-Oct-92 6.99
26-Oct-92 6.99
2-Nov-92 6.99
9-Nov-92 6.99
16-Nov-92 6.99
23-Nov-92 6.99
30-Nov-92 6.99
7-Dec-92 6.99
14-Dec-92 6.99
21-Dec-92 6.99
28-Dec-92 6.99
4-Jan-93 6.99
11-Jan-93 6.99
18-Jan-93 6.99
25-Jan-93 6.99
1-Feb-93 6.99
8-Feb-93 6.99
15-Feb-93 6.99
22-Feb-93 6.99
1-Mar-93 6.99
8-Mar-93 6.99
15-Mar-93 6.99
22-Mar-93 6.56
29-Mar-93 6.56
5-Apr-93 6.56
12-Apr-93 6.56
19-Apr-93 6.56
26-Apr-93 6.56
3-May-93 6.56
10-May-93 6.63
17-May-93 6.63
24-May-93 6.63
31-May-93 6.63
7-Jun-93 6.63
14-Jun-93 6.63
21-Jun-93 6.99
28-Jun-93 6.99
5-Jul-93 6.99
12-Jul-93 6.99
19-Jul-93 6.99
26-Jul-93 6.99
2-Aug-93 6.99
9-Aug-93 6.99
16-Aug-93 6.99
23-Aug-93 6.99
I have a mandate to calculate VaR on that price data, probably in Parametric
way. My question is can I apply standard way which we generally use like
log-normally distributed price, to calculate VaR here? Or some other
modeling approach needs to be taken care? Can anyone please provide me any
references over net, how to handle this type of scenario?
Your help will be highly appreciated.
Thanks,
--
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