Challenges Encountered Related to Data and Analytics

Make up a story about a challenge related to data, or analytics that you have encountered. How did you solve this challenge, and did you succeed. Based on the document that I uploaded.

Learning Exercise 3
Value at Risk
Instructions: Complete this assignment by downloading the data and then answering the questions in this word document. Then submit it electronically on class.pace.edu website.  
Note: Submission is set only before the deadline. Late assignments can’t be submitted.
1. Get the daily closing prices data for SPDR Gold Shares (GLD), Financial Sector SPDR Fund (XLF) and SP500 (^GSPC) from finance.Yahoo for the period 2005-01-01 to 2020-12-31. Create the returns variable for each series and plot graphs.
For each asset (GLD, XLF, and ^GSPC) assume that you have a position of $1,000,000. What was the 1% one day Value at Risk for each asset when the market opened on Monday, January 4, 2021?  
The time series plots of three assets price level and returns are as follows.Gold Price Series 
Gold return series  SP500index price series

 SP500index return series

 XLF price series
 
XLF return series

a) Using the quantile from one year history Gold  XLF  S$P 500 index   b) Using the quantile from five-year history Gold  XLF  S$P 500 index  
c) Using the quantile from ten-year history Gold  XLF  S$P 500 index  
d) Using the quantile from the full data set Gold  XLF  S$P 500 index  
e) Using the normality assumption and a GARCH(1,1) modelGold  XLF  S$P 500 index  
f) Using the GJR-GARCH model with normalityGold  XLF  S$P 500 index  
g) Using the GJR-GARCH model with bootstrapped residuals
Gold  XLF  S$P 500 index  

2.  Go to VLAB (http://vlab.stern.nyu.edu/) and  A.   find the volatility forecasts one day and one year ahead for the following assets using the GJR-GARCH model. Make sure to state the date when you get the forecasts from VLAB. a) S&P500b) Ibovespa Brasil Sao Paulo Stock Exchange Indexc) Barclays US Aggregate Government Indexd) Teslae) MBIAf) Euro Exchange rateg) iShares Cohen & Steers REIT ETFh) Bitcoin to US Dollar 

This is volatility Prediction for Tuesday, November 29th, 2021.
1-day 1-yearS&P500 16.46% 16.76%Ibovespa Brasil Sao Paulo Stock Exchange Index 25.14% 30.11%Barclays US Aggregate Government Index 4.44% 4.42%Tesla 58.49% 55.13%MBIA 51.92% 57.24%Euro Exchange rate 5.65% 6.44%iShares Cohen & Steers REIT ETF 20.49% 22.01%Bitcoin to US Dollar 71.12% 128.73%
B.  Describe why these numbers are consistent with the information based description of asset volatility for each of the assets.
According to the model of the volatility, different asset classes have different volatility characteristics. Government bond index has the least volatility because the yield of bond only changes within a narrow range than other assets. Euro, as a foreign currency also has a small volatility because currency only reacts to less frequent country-wide and macroeconomic news. Among all equity related assets, S&P500 index has the lowest volatility of 16%. This is because index has diversification effects. REIT Index has a relatively higher volatility because they are exposed to real estate sector. Brazil index has a higher index volatility because the emerging markets are exposed to more shocks. Tesla and MBIA have higher volatility because the individual stocks are exposed to more frequent and sudden shocks. Bitcoin has the highest volatility because it is purely speculative financial instruments under blurred regulation.