This exercise uses daily Microsoft price data in the msft.dat data set on the book’s website. Use the closing prices to compute daily returns. Assume that the returns are i.i.d., even though there may...

This exercise uses daily Microsoft price data in the msft.dat data set on the book’s website. Use the closing prices to compute daily returns. Assume that the returns are i.i.d., even though there may be some autocorrelation and volatility clustering is likely. Suppose a portfolio holds $1,000 in Microsoft stock (and nothing else). Use the model-free bootstrap to find 95 % confidence intervals for parametric estimates of VaR(0.005, 24 h) and ES(0.005, 24 h) assuming that the returns are t-distributed.