Need help please

Hi Bogaso,

I am not a VaR expert at all, but I would say this:
1. Not enough data to compute anything with any sensible level of  
statistical significance (probably already very weak for volatility,  
but most probably very very very weak for VaR estimation)
2. I do not know this "very notorious" time series personally  
(probably my own limitation), but it looks pretty odd to me, basically  
you have 7 different prices repeated many times giving you 6 returns -  
one of which is almost 50% - and many nil returns...
3. VaR using the simple log-normal model of asset prices (I guess you  
mean VaR(99%)=average - 2.33*stdev) is vastly documented to be  
insufficient for financial assets like equity, so most probably not  
for whatever this thing is.

So I would personally simply say that it is not possible with the data  
at hand. Better to accept you cannot than use inappropriate "models"  
just to get some number out. But that's a personal opinion. Or there  
is another complex way (probably with a set of strong assumptions on  
the variable) which is beyond my knowledge

& as Ivan pointed out, this does not even enter the debate whether VaR  
is a sensible risk measure (coherence, best outcome in a bad day,  
etc...). I may be wrong of course, but I would be interested to have  
other list member opinion on this.

Sorry, this is most probably not the hoped/expected feedback.

Rgds,
Julen

Need help please

Thread (5 messages)