Dataset
Datasets for analysis consist of observations for last five years of ten most popular stocks in U.S. First dataset presents daily Open Prices, and the other shows daily log-returns.
Symbols:
- AAPL - Apple
- SBUX - Starbucks
- MSFT - Microsoft
- CSCO - Cisco Systems
- QCOM - Qualcomm
- FB - Facebook
- AMZN - Amazon
- TSLA - Tesla
- AMD - Advanced Micro Devices
- ZNGA - Zynga
dataset with stock prices ($)
dataset with stock returns (%)
Prices and Returns plots
This page consists of plots for each stock under analysis.
Plots show 5-year-time observations.
Packages used to prepare plots: ggplot2, ggpubr.
col 1
Apple
Starbucks
Microsoft
Cisco Systems
Qualcomm
col 2
Amazon
Tesla
Advanced Micro Devices
Zynga
VaR & ES
This page shows VaR and ES calculations.
Methods used - Historical simulation, normal distribution and t-student parametric methods.
Results for levels of significance p = 1% and 5%.
Results presented as a %loss in worst-case scenarios in 1-day horizon
VaR shows, that with (1-p) certainty investor will not lose more than X%
ES is an average loss in worst p cases
Var & ES table - p = 1%
| AAPL | SBUX | MSFT | CSCO | QCOM | FB | AMZN | TSLA | AMD | ZNGA | |
|---|---|---|---|---|---|---|---|---|---|---|
| VaR | 5.04 | 4.27 | 4.63 | 4.74 | 6.27 | 6.02 | 6.23 | 12.18 | 10.82 | 5.98 |
| VaR_N | 4.30 | 3.69 | 3.80 | 3.80 | 5.24 | 4.97 | 4.78 | 8.74 | 9.62 | 5.24 |
| VaR_t | 4.81 | 4.13 | 4.24 | 4.25 | 5.86 | 5.55 | 5.33 | 9.77 | 10.74 | 5.86 |
| AAPL | SBUX | MSFT | CSCO | QCOM | FB | AMZN | TSLA | AMD | ZNGA | |
|---|---|---|---|---|---|---|---|---|---|---|
| ES | 6.78 | 6.26 | 5.72 | 6.19 | 10.21 | 8.37 | 7.87 | 15.18 | 13.67 | 8.58 |
| ES_N | 4.91 | 4.23 | 4.33 | 4.34 | 5.99 | 5.68 | 5.45 | 9.99 | 10.98 | 5.99 |
| ES_t | 7.46 | 6.45 | 6.56 | 6.63 | 9.15 | 8.64 | 8.27 | 15.20 | 16.65 | 9.11 |
Var & ES table - p = 5%
| AAPL | SBUX | MSFT | CSCO | QCOM | FB | AMZN | TSLA | AMD | ZNGA | |
|---|---|---|---|---|---|---|---|---|---|---|
| VaR | 2.95 | 2.24 | 2.42 | 2.26 | 3.04 | 2.95 | 3.15 | 5.47 | 6.87 | 3.49 |
| VaR_N | 3.08 | 2.62 | 2.72 | 2.70 | 3.72 | 3.54 | 3.42 | 6.23 | 6.89 | 3.74 |
| VaR_t | 2.92 | 2.49 | 2.59 | 2.56 | 3.54 | 3.36 | 3.25 | 5.92 | 6.55 | 3.55 |
| AAPL | SBUX | MSFT | CSCO | QCOM | FB | AMZN | TSLA | AMD | ZNGA | |
|---|---|---|---|---|---|---|---|---|---|---|
| ES | 4.27 | 3.52 | 3.73 | 3.52 | 5.10 | 4.91 | 4.84 | 9.12 | 9.47 | 5.09 |
| ES_N | 3.83 | 3.28 | 3.38 | 3.37 | 4.65 | 4.41 | 4.25 | 7.77 | 8.56 | 4.66 |
| ES_t | 4.19 | 3.60 | 3.70 | 3.70 | 5.10 | 4.84 | 4.65 | 8.51 | 9.37 | 5.10 |