HSG-MCS-HS21_Julia/Problemsets/PS08_Volatility.ipynb

580 lines
84 KiB
Plaintext
Raw Normal View History

{
"cells": [
{
"cell_type": "markdown",
"metadata": {},
"source": [
"## Load Packages and Extra Functions"
]
},
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"printyellow (generic function with 1 method)"
]
},
"execution_count": 1,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"using Printf, Dates, Statistics, Distributions, XLSX\n",
"\n",
"include(\"jlFiles/printmat.jl\")"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
"using Plots\n",
"\n",
"gr(size=(480,320))\n",
"default(fmt = :svg)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Loading Daily S&P 500 Data\n",
"\n",
"The data file contains some missing values indicated by the value -999.99. Do not use those observations when the S&P level is missing. \n",
"\n",
"1. Calculate daily returns (treat missing days as if they do not exist).\n",
"\n",
"2. Create a vector of dates (from the first column in the data set)."
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Number of days in the sample: 17864\n"
]
}
],
"source": [
"xx = XLSX.readxlsx(\"Data/PS08_Data.xlsx\") #reads a sheet from the xlsx file\n",
"x = xx[\"SP500RfPs!A2:B17870\"] #pick out some cells\n",
"\n",
"...do the rest"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Task 1\n",
"\n",
"1. Show a normalised histogram of the returns. Use the bins `-5:0.25:5`\n",
"2. Add a curve for the density of the best fitting $N(\\mu,\\sigma)$ distribution."
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {},
"outputs": [
{
"data": {
"image/svg+xml": [
"<?xml version=\"1.0\" encoding=\"utf-8\"?>\n",
"<svg xmlns=\"http://www.w3.org/2000/svg\" xmlns:xlink=\"http://www.w3.org/1999/xlink\" width=\"480\" height=\"320\" viewBox=\"0 0 1920 1280\">\n",
"<defs>\n",
" <clipPath id=\"clip000\">\n",
" <rect x=\"0\" y=\"0\" width=\"1920\" height=\"1280\"/>\n",
" </clipPath>\n",
"</defs>\n",
"<path clip-path=\"url(#clip000)\" d=\"\n",
"M0 1280 L1920 1280 L1920 0 L0 0 Z\n",
" \" fill=\"#ffffff\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<defs>\n",
" <clipPath id=\"clip001\">\n",
" <rect x=\"384\" y=\"0\" width=\"1345\" height=\"1280\"/>\n",
" </clipPath>\n",
"</defs>\n",
"<path clip-path=\"url(#clip000)\" d=\"\n",
"M151.798 1119.34 L1872.76 1119.34 L1872.76 106.192 L151.798 106.192 Z\n",
" \" fill=\"#ffffff\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<defs>\n",
" <clipPath id=\"clip002\">\n",
" <rect x=\"151\" y=\"106\" width=\"1722\" height=\"1014\"/>\n",
" </clipPath>\n",
"</defs>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:2; stroke-opacity:0.1; fill:none\" points=\"\n",
" 399.619,1119.34 399.619,106.192 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:2; stroke-opacity:0.1; fill:none\" points=\"\n",
" 705.948,1119.34 705.948,106.192 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:2; stroke-opacity:0.1; fill:none\" points=\"\n",
" 1012.28,1119.34 1012.28,106.192 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:2; stroke-opacity:0.1; fill:none\" points=\"\n",
" 1318.61,1119.34 1318.61,106.192 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:2; stroke-opacity:0.1; fill:none\" points=\"\n",
" 1624.94,1119.34 1624.94,106.192 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 151.798,1119.34 1872.76,1119.34 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 399.619,1119.34 399.619,1100.44 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 705.948,1119.34 705.948,1100.44 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1012.28,1119.34 1012.28,1100.44 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1318.61,1119.34 1318.61,1100.44 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1624.94,1119.34 1624.94,1100.44 \n",
" \"/>\n",
"<path clip-path=\"url(#clip000)\" d=\"M368.519 1161.07 L398.195 1161.07 L398.195 1165.01 L368.519 1165.01 L368.519 1161.07 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M421.135 1147.41 L409.329 1165.86 L421.135 1165.86 L421.135 1147.41 M419.908 1143.34 L425.787 1143.34 L425.787 1165.86 L430.718 1165.86 L430.718 1169.75 L425.787 1169.75 L425.787 1177.9 L421.135 1177.9 L421.135 1169.75 L405.533 1169.75 L405.533 1165.24 L419.908 1143.34 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M675.89 1161.07 L705.566 1161.07 L705.566 1165.01 L675.89 1165.01 L675.89 1161.07 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M719.686 1173.96 L736.006 1173.96 L736.006 1177.9 L714.061 1177.9 L714.061 1173.96 Q716.723 1171.21 721.307 1166.58 Q725.913 1161.93 727.094 1160.59 Q729.339 1158.06 730.219 1156.33 Q731.121 1154.57 731.121 1152.88 Q731.121 1150.12 729.177 1148.39 Q727.256 1146.65 724.154 1146.65 Q721.955 1146.65 719.501 1147.41 Q717.07 1148.18 714.293 1149.73 L714.293 1145.01 Q717.117 1143.87 719.57 1143.29 Q722.024 1142.71 724.061 1142.71 Q729.432 1142.71 732.626 1145.4 Q735.82 1148.09 735.82 1152.58 Q735.82 1154.71 735.01 1156.63 Q734.223 1158.52 732.117 1161.12 Q731.538 1161.79 728.436 1165.01 Q725.334 1168.2 719.686 1173.96 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M1012.28 1146.42 Q1008.67 1146.42 1006.84 1149.98 Q1005.03 1153.52 1005.03 1160.65 Q1005.03 1167.76 1006.84 1171.33 Q1008.67 1174.87 1012.28 1174.87 Q1015.91 1174.87 1017.72 1171.33 Q1019.55 1167.76 1019.55 1160.65 Q1019.55 1153.52 1017.72 1149.98 Q1015.91 1146.42 1012.28 1146.42 M1012.28 1142.71 Q1018.09 1142.71 1021.14 1147.32 Q1024.22 1151.9 1024.22 1160.65 Q1024.22 1169.38 1021.14 1173.99 Q1018.09 1178.57 1012.28 1178.57 Q1006.47 1178.57 1003.39 1173.99 Q1000.33 1169.38 1000.33 1160.65 Q1000.33 1151.9 1003.39 1147.32 Q1006.47 1142.71 1012.28 1142.71 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M1313.26 1173.96 L1329.58 1173.96 L1329.58 1177.9 L1307.63 1177.9 L1307.63 1173.96 Q1310.3 1171.21 1314.88 1166.58 Q1319.49 1161.93 1320.67 1160.59 Q1322.91 1158.06 1323.79 1156.33 Q1324.69 1154.57 1324.69 1152.88 Q1324.69 1150.12 1322.75 1148.39 Q1320.83 1146.65 1317.73 1146.65 Q1315.53 1146.65 1313.07 1147.41 Q1310.64 1148.18 1307.87 1149.73 L1307.87 1145.01 Q1310.69 1143.87 1313.14 1143.29 Q1315.6 1142.71 1317.63 1142.71 Q1323 1142.71 1326.2 1145.4 Q1329.39 1148.09 1329.39 1152.58 Q1329.39 1154.71 1328.58 1156.63 Q1327.8 1158.52 1325.69 1161.12 Q1325.11 1161.79 1322.01 1165.01 Q1318.91 1168.2 1313.26 1173.96 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M1627.94 1147.41 L1616.14 1165.86 L1627.94 1165.86 L1627.94 1147.41 M1626.72 1143.34 L1632.6 1143.34 L1632.6 1165.86 L1637.53 1165.86 L1637.53 1169.75 L1632.6 1169.75 L1632.6 1177.9 L1627.94 1177.9 L1627.94 1169.75 L1612.34 1169.75 L1612.34 1165.24 L1626.72 1143.34 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M916.051 1225.25 Q917.555 1225.76 918.967 1227.42 Q920.403 1229.09 921.838 1232.01 L926.583 1241.45 L921.56 1241.45 L917.139 1232.59 Q915.426 1229.11 913.805 1227.98 Q912.208 1226.85 909.43 1226.85 L904.338 1226.85 L904.338 1241.45 L899.662 1241.45 L899.662 1206.89 L910.217 1206.89 Q916.143 1206.89 919.06 1209.37 Q921.977 1211.85 921.977 1216.85 Q921.977 1220.11 920.449 1222.26 Q918.944 1224.41 916.051 1225.25 M904.338 1210.73 L904.338 1223 L910.217 1223 Q913.597 1223 915.31 1221.45 Q917.046 1219.88 917.046 1216.85 Q917.046 1213.81 915.31 1212.29 Q913.597 1210.73 910.217 1210.73 L904.338 1210.73 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M952.463 1227.42 L952.463 1229.51 L932.879 1229.51 Q933.157 1233.91 935.518 1236.22 Q937.902 1238.51 942.139 1238.51 Q944.592 12
" 151.798,1090.67 1872.76,1090.67 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:2; stroke-opacity:0.1; fill:none\" points=\"\n",
" 151.798,946.185 1872.76,946.185 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:2; stroke-opacity:0.1; fill:none\" points=\"\n",
" 151.798,801.704 1872.76,801.704 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:2; stroke-opacity:0.1; fill:none\" points=\"\n",
" 151.798,657.222 1872.76,657.222 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:2; stroke-opacity:0.1; fill:none\" points=\"\n",
" 151.798,512.741 1872.76,512.741 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:2; stroke-opacity:0.1; fill:none\" points=\"\n",
" 151.798,368.26 1872.76,368.26 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:2; stroke-opacity:0.1; fill:none\" points=\"\n",
" 151.798,223.779 1872.76,223.779 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 151.798,1119.34 151.798,106.192 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 151.798,1090.67 170.696,1090.67 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 151.798,946.185 170.696,946.185 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 151.798,801.704 170.696,801.704 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 151.798,657.222 170.696,657.222 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 151.798,512.741 170.696,512.741 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 151.798,368.26 170.696,368.26 \n",
" \"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 151.798,223.779 170.696,223.779 \n",
" \"/>\n",
"<path clip-path=\"url(#clip000)\" d=\"M65.8226 1076.46 Q62.2115 1076.46 60.3828 1080.03 Q58.5773 1083.57 58.5773 1090.7 Q58.5773 1097.81 60.3828 1101.37 Q62.2115 1104.91 65.8226 1104.91 Q69.4569 1104.91 71.2624 1101.37 Q73.0911 1097.81 73.0911 1090.7 Q73.0911 1083.57 71.2624 1080.03 Q69.4569 1076.46 65.8226 1076.46 M65.8226 1072.76 Q71.6328 1072.76 74.6883 1077.37 Q77.767 1081.95 77.767 1090.7 Q77.767 1099.43 74.6883 1104.03 Q71.6328 1108.62 65.8226 1108.62 Q60.0125 1108.62 56.9338 1104.03 Q53.8782 1099.43 53.8782 1090.7 Q53.8782 1081.95 56.9338 1077.37 Q60.0125 1072.76 65.8226 1072.76 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M85.9845 1102.07 L90.8688 1102.07 L90.8688 1107.95 L85.9845 1107.95 L85.9845 1102.07 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M111.054 1076.46 Q107.443 1076.46 105.614 1080.03 Q103.809 1083.57 103.809 1090.7 Q103.809 1097.81 105.614 1101.37 Q107.443 1104.91 111.054 1104.91 Q114.688 1104.91 116.494 1101.37 Q118.322 1097.81 118.322 1090.7 Q118.322 1083.57 116.494 1080.03 Q114.688 1076.46 111.054 1076.46 M111.054 1072.76 Q116.864 1072.76 119.92 1077.37 Q122.998 1081.95 122.998 1090.7 Q122.998 1099.43 119.92 1104.03 Q116.864 1108.62 111.054 1108.62 Q105.244 1108.62 102.165 1104.03 Q99.1095 1099.43 99.1095 1090.7 Q99.1095 1081.95 102.165 1077.37 Q105.244 1072.76 111.054 1072.76 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M67.0495 931.983 Q63.4384 931.983 61.6097 935.548 Q59.8041 939.09 59.8041 946.219 Q59.8041 953.326 61.6097 956.891 Q63.4384 960.432 67.0495 960.432 Q70.6837 960.432 72.4892 956.891 Q74.3179 953.326 74.3179 946.219 Q74.3179 939.09 72.4892 935.548 Q70.6837 931.983 67.0495 931.983 M67.0495 928.28 Q72.8596 928.28 75.9152 932.886 Q78.9938 937.469 78.9938 946.219 Q78.9938 954.946 75.9152 959.553 Q72.8596 964.136 67.0495 964.136 Q61.2393 964.136 58.1606 959.553 Q55.1051 954.946 55.1051 946.219 Q55.1051 937.469 58.1606 932.886 Q61.2393 928.28 67.0495 928.28 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M87.2114 957.585 L92.0956 957.585 L92.0956 963.465 L87.2114 963.465 L87.2114 957.585 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M103.091 959.53 L110.73 959.53 L110.73 933.164 L102.42 934.831 L102.42 930.571 L110.683 928.905 L115.359 928.905 L115.359 959.53 L122.998 959.53 L122.998 963.465 L103.091 963.465 L103.091 959.53 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M67.4198 787.502 Q63.8087 787.502 61.98 791.067 Q60.1745 794.609 60.1745 801.738 Q60.1745 808.845 61.98 812.409 Q63.8087 815.951 67.4198 815.951 Q71.0541 815.951 72.8596 812.409 Q74.6883 808.845 74.6883 801.738 Q74.6883 794.609 72.8596 791.067 Q71.0541 787.502 67.4198 787.502 M67.4198 783.799 Q73.23 783.799 76.2855 788.405 Q79.3642 792.988 79.3642 801.738 Q79.3642 810.465 76.2855 815.072 Q73.23 819.655 67.4198 819.655 Q61.6097 819.655 58.531 815.072 Q55.4754 810.465 55.4754 801.738 Q55.4754 792.988 58.531 788.405 Q61.6097 783.799 67.4198 783.799 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M87.5818 813.104 L92.466 813.104 L92.466 818.984 L87.5818 818.984 L87.5818 813.104 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M106.679 815.048 L122.998 815.048 L122.998 818.984 L101.054 818.984 L101.054 815.048 Q103.716 812.294 108.299 807.664 Q112.906 803.011 114.086 801.669 Q116.332 799.146 117.211 797.41 Q118.114 795.65 118.114 793.961 Q118.114 791.206 116.17 789.47 Q114.248 787.734 111.146 787.734 Q108.947 787.734 106.494 788.498 Q104.063 789.261 101.285 790.812 L101.285 786.09 Q104.109 784.956 106.563 784.377 Q109.017 783.799 111.054 783.799 Q116.424 783.799 119.619 786.484 Q122.813 789.169 122.813 793.66 Q122.813 795.789 122.003 797.71 Q121.216 799.609 119.109 802.201 Q118.531
"M246.454 1089.04 L246.454 1090.67 L284.745 1090.67 L284.745 1089.04 L246.454 1089.04 L246.454 1089.04 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 246.454,1089.04 246.454,1090.67 284.745,1090.67 284.745,1089.04 246.454,1089.04 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M284.745 1089.37 L284.745 1090.67 L323.036 1090.67 L323.036 1089.37 L284.745 1089.37 L284.745 1089.37 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 284.745,1089.37 284.745,1090.67 323.036,1090.67 323.036,1089.37 284.745,1089.37 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M323.036 1087.75 L323.036 1090.67 L361.327 1090.67 L361.327 1087.75 L323.036 1087.75 L323.036 1087.75 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 323.036,1087.75 323.036,1090.67 361.327,1090.67 361.327,1087.75 323.036,1087.75 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M361.327 1089.04 L361.327 1090.67 L399.619 1090.67 L399.619 1089.04 L361.327 1089.04 L361.327 1089.04 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 361.327,1089.04 361.327,1090.67 399.619,1090.67 399.619,1089.04 361.327,1089.04 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M399.619 1087.42 L399.619 1090.67 L437.91 1090.67 L437.91 1087.42 L399.619 1087.42 L399.619 1087.42 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 399.619,1087.42 399.619,1090.67 437.91,1090.67 437.91,1087.42 399.619,1087.42 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M437.91 1086.77 L437.91 1090.67 L476.201 1090.67 L476.201 1086.77 L437.91 1086.77 L437.91 1086.77 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 437.91,1086.77 437.91,1090.67 476.201,1090.67 476.201,1086.77 437.91,1086.77 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M476.201 1085.15 L476.201 1090.67 L514.492 1090.67 L514.492 1085.15 L476.201 1085.15 L476.201 1085.15 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 476.201,1085.15 476.201,1090.67 514.492,1090.67 514.492,1085.15 476.201,1085.15 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M514.492 1080.93 L514.492 1090.67 L552.783 1090.67 L552.783 1080.93 L514.492 1080.93 L514.492 1080.93 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 514.492,1080.93 514.492,1090.67 552.783,1090.67 552.783,1080.93 514.492,1080.93 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M552.783 1077.36 L552.783 1090.67 L591.074 1090.67 L591.074 1077.36 L552.783 1077.36 L552.783 1077.36 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 552.783,1077.36 552.783,1090.67 591.074,1090.67 591.074,1077.36 552.783,1077.36 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M591.074 1073.79 L591.074 1090.67 L629.366 1090.67 L629.366 1073.79 L591.074 1073.79 L591.074 1073.79 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 591.074,1073.79 591.074,1090.67 629.366,1090.67 629.366,1073.79 591.074,1073.79 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M629.366 1063.41 L629.366 1090.67 L667.657 1090.67 L667.657 1063.41 L629.366 1063.41 L629.366 1063.41 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 629.366,1063.41 629.366,1090.67 667.657,1090.67 667.657,1063.41 629.366,1063.41 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M667.657 1056.92 L667.657 1090.67 L705.948 1090.67 L705.948 1056.92 L667.657 1056.92 L667.657 1056.92 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 667.657,1056.92 667.657,1090.67 705.948,1090.67 705.948,1056.92 667.657,1056.92 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M705.948 1036.81 L705.948 1090.67 L744.239 1090.67 L744.239 1036.81 L705.948 1036.81 L705.948 1036.81 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 705.948,1036.81 705.948,1090.67 744.239,1090.67 744.239,1036.81 705.948,1036.81 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M744.239 1003.72 L744.239 1090.67 L782.53 1090.67 L782.53 1003.72 L744.239 1003.72 L744.239 1003.72 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 744.239,1003.72 744.239,1090.67 782.53,1090.67 782.53,1003.72 744.239,1003.72 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M782.53 966.405 L782.53 1090.67 L820.821 1090.67 L820.821 966.405 L782.53 966.405 L782.53 966.405 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 782.53,966.405 782.53,1090.67 820.821,1090.67 820.821,966.405 782.53,966.405 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M820.821 915.144 L820.821 1090.67 L859.112 1090.67 L859.112 915.144 L820.821 915.144 L820.821 915.144 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 820.821,915.144 820.821,1090.67 859.112,1090.67 859.112,915.144 820.821,915.144 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M859.112 819.434 L859.112 1090.67 L897.404 1090.67 L897.404 819.434 L859.112 819.434 L859.112 819.434 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 859.112,819.434 859.112,1090.67 897.404,1090.67 897.404,819.434 859.112,819.434 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M897.404 675.707 L897.404 1090.67 L935.695 1090.67 L935.695 675.707 L897.404 675.707 L897.404 675.707 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 897.404,675.707 897.404,1090.67 935.695,1090.67 935.695,675.707 897.404,675.707 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M935.695 499.212 L935.695 1090.67 L973.986 1090.67 L973.986 499.212 L935.695 499.212 L935.695 499.212 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 935.695,499.212 935.695,1090.67 973.986,1090.67 973.986,499.212 935.695,499.212 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M973.986 261.398 L973.986 1090.67 L1012.28 1090.67 L1012.28 261.398 L973.986 261.398 L973.986 261.398 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 973.986,261.398 973.986,1090.67 1012.28,1090.67 1012.28,261.398 973.986,261.398 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1012.28 134.866 L1012.28 1090.67 L1050.57 1090.67 L1050.57 134.866 L1012.28 134.866 L1012.28 134.866 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1012.28,134.866 1012.28,1090.67 1050.57,1090.67 1050.57,134.866 1012.28,134.866 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1050.57 377.872 L1050.57 1090.67 L1088.86 1090.67 L1088.86 377.872 L1050.57 377.872 L1050.57 377.872 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1050.57,377.872 1050.57,1090.67 1088.86,1090.67 1088.86,377.872 1050.57,377.872 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1088.86 589.406 L1088.86 1090.67 L1127.15 1090.67 L1127.15 589.406 L1088.86 589.406 L1088.86 589.406 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1088.86,589.406 1088.86,1090.67 1127.15,1090.67 1127.15,589.406 1088.86,589.406 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1127.15 752.924 L1127.15 1090.67 L1165.44 1090.67 L1165.44 752.924 L1127.15 752.924 L1127.15 752.924 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1127.15,752.924 1127.15,1090.67 1165.44,1090.67 1165.44,752.924 1127.15,752.924 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1165.44 879.456 L1165.44 1090.67 L1203.73 1090.67 L1203.73 879.456 L1165.44 879.456 L1165.44 879.456 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1165.44,879.456 1165.44,1090.67 1203.73,1090.67 1203.73,879.456 1165.44,879.456 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1203.73 958.619 L1203.73 1090.67 L1242.02 1090.67 L1242.02 958.619 L1203.73 958.619 L1203.73 958.619 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1203.73,958.619 1203.73,1090.67 1242.02,1090.67 1242.02,958.619 1203.73,958.619 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1242.02 1003.07 L1242.02 1090.67 L1280.32 1090.67 L1280.32 1003.07 L1242.02 1003.07 L1242.02 1003.07 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1242.02,1003.07 1242.02,1090.67 1280.32,1090.67 1280.32,1003.07 1242.02,1003.07 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1280.32 1037.78 L1280.32 1090.67 L1318.61 1090.67 L1318.61 1037.78 L1280.32 1037.78 L1280.32 1037.78 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1280.32,1037.78 1280.32,1090.67 1318.61,1090.67 1318.61,1037.78 1280.32,1037.78 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1318.61 1054.33 L1318.61 1090.67 L1356.9 1090.67 L1356.9 1054.33 L1318.61 1054.33 L1318.61 1054.33 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1318.61,1054.33 1318.61,1090.67 1356.9,1090.67 1356.9,1054.33 1318.61,1054.33 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1356.9 1066.01 L1356.9 1090.67 L1395.19 1090.67 L1395.19 1066.01 L1356.9 1066.01 L1356.9 1066.01 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1356.9,1066.01 1356.9,1090.67 1395.19,1090.67 1395.19,1066.01 1356.9,1066.01 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1395.19 1075.09 L1395.19 1090.67 L1433.48 1090.67 L1433.48 1075.09 L1395.19 1075.09 L1395.19 1075.09 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1395.19,1075.09 1395.19,1090.67 1433.48,1090.67 1433.48,1075.09 1395.19,1075.09 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1433.48 1078.99 L1433.48 1090.67 L1471.77 1090.67 L1471.77 1078.99 L1433.48 1078.99 L1433.48 1078.99 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1433.48,1078.99 1433.48,1090.67 1471.77,1090.67 1471.77,1078.99 1433.48,1078.99 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1471.77 1085.8 L1471.77 1090.67 L1510.06 1090.67 L1510.06 1085.8 L1471.77 1085.8 L1471.77 1085.8 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1471.77,1085.8 1471.77,1090.67 1510.06,1090.67 1510.06,1085.8 1471.77,1085.8 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1510.06 1082.88 L1510.06 1090.67 L1548.35 1090.67 L1548.35 1082.88 L1510.06 1082.88 L1510.06 1082.88 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1510.06,1082.88 1510.06,1090.67 1548.35,1090.67 1548.35,1082.88 1510.06,1082.88 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1548.35 1086.45 L1548.35 1090.67 L1586.64 1090.67 L1586.64 1086.45 L1548.35 1086.45 L1548.35 1086.45 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1548.35,1086.45 1548.35,1090.67 1586.64,1090.67 1586.64,1086.45 1548.35,1086.45 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1586.64 1086.12 L1586.64 1090.67 L1624.94 1090.67 L1624.94 1086.12 L1586.64 1086.12 L1586.64 1086.12 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1586.64,1086.12 1586.64,1090.67 1624.94,1090.67 1624.94,1086.12 1586.64,1086.12 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1624.94 1087.1 L1624.94 1090.67 L1663.23 1090.67 L1663.23 1087.1 L1624.94 1087.1 L1624.94 1087.1 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1624.94,1087.1 1624.94,1090.67 1663.23,1090.67 1663.23,1087.1 1624.94,1087.1 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1663.23 1088.39 L1663.23 1090.67 L1701.52 1090.67 L1701.52 1088.39 L1663.23 1088.39 L1663.23 1088.39 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1663.23,1088.39 1663.23,1090.67 1701.52,1090.67 1701.52,1088.39 1663.23,1088.39 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1701.52 1088.72 L1701.52 1090.67 L1739.81 1090.67 L1739.81 1088.72 L1701.52 1088.72 L1701.52 1088.72 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1701.52,1088.72 1701.52,1090.67 1739.81,1090.67 1739.81,1088.72 1701.52,1088.72 \n",
" \"/>\n",
"<path clip-path=\"url(#clip002)\" d=\"\n",
"M1739.81 1088.72 L1739.81 1090.67 L1778.1 1090.67 L1778.1 1088.72 L1739.81 1088.72 L1739.81 1088.72 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 1739.81,1088.72 1739.81,1090.67 1778.1,1090.67 1778.1,1088.72 1739.81,1088.72 \n",
" \"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"265.6\" cy=\"1089.04\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"303.891\" cy=\"1089.37\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"342.182\" cy=\"1087.75\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"380.473\" cy=\"1089.04\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"418.764\" cy=\"1087.42\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"457.055\" cy=\"1086.77\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"495.346\" cy=\"1085.15\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"533.638\" cy=\"1080.93\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"571.929\" cy=\"1077.36\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"610.22\" cy=\"1073.79\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"648.511\" cy=\"1063.41\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"686.802\" cy=\"1056.92\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"725.093\" cy=\"1036.81\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"763.385\" cy=\"1003.72\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"801.676\" cy=\"966.405\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"839.967\" cy=\"915.144\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"878.258\" cy=\"819.434\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"916.549\" cy=\"675.707\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"954.84\" cy=\"499.212\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"993.131\" cy=\"261.398\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1031.42\" cy=\"134.866\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1069.71\" cy=\"377.872\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1108\" cy=\"589.406\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1146.3\" cy=\"752.924\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1184.59\" cy=\"879.456\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1222.88\" cy=\"958.619\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1261.17\" cy=\"1003.07\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1299.46\" cy=\"1037.78\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1337.75\" cy=\"1054.33\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1376.04\" cy=\"1066.01\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1414.33\" cy=\"1075.09\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1452.63\" cy=\"1078.99\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1490.92\" cy=\"1085.8\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1529.21\" cy=\"1082.88\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1567.5\" cy=\"1086.45\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1605.79\" cy=\"1086.12\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1644.08\" cy=\"1087.1\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1682.37\" cy=\"1088.39\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1720.66\" cy=\"1088.72\" r=\"2\"/>\n",
"<circle clip-path=\"url(#clip002)\" style=\"fill:#009af9; stroke:none; fill-opacity:0\" cx=\"1758.95\" cy=\"1088.72\" r=\"2\"/>\n",
"<polyline clip-path=\"url(#clip002)\" style=\"stroke:#e26f46; stroke-linecap:butt; stroke-linejoin:round; stroke-width:12; stroke-opacity:1; fill:none\" points=\"\n",
" 246.454,1090.66 284.745,1090.66 323.036,1090.65 361.327,1090.62 399.619,1090.53 437.91,1090.29 476.201,1089.7 514.492,1088.36 552.783,1085.48 591.074,1079.72 \n",
" 629.366,1069.03 667.657,1050.53 705.948,1020.85 744.239,976.747 782.53,916.323 820.821,840.408 859.112,753.736 897.404,665.201 935.695,586.749 973.986,530.876 \n",
" 1012.28,507.407 1050.57,520.673 1088.86,568.212 1127.15,641.509 1165.44,728.49 1203.73,816.754 1242.02,896.365 1280.32,961.393 1318.61,1010 1356.9,1043.45 \n",
" 1395.19,1064.75 1433.48,1077.32 1471.77,1084.22 1510.06,1087.75 1548.35,1089.43 1586.64,1090.17 1624.94,1090.48 1663.23,1090.6 1701.52,1090.64 1739.81,1090.66 \n",
" 1778.1,1090.66 \n",
" \"/>\n",
"<path clip-path=\"url(#clip000)\" d=\"\n",
"M209.163 664.606 L632.371 664.606 L632.371 509.086 L209.163 509.086 Z\n",
" \" fill=\"#ffffff\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 209.163,664.606 632.371,664.606 632.371,509.086 209.163,509.086 209.163,664.606 \n",
" \"/>\n",
"<path clip-path=\"url(#clip000)\" d=\"\n",
"M228.285 581.662 L343.016 581.662 L343.016 540.19 L228.285 540.19 L228.285 581.662 Z\n",
" \" fill=\"#009af9\" fill-rule=\"evenodd\" fill-opacity=\"1\"/>\n",
"<polyline clip-path=\"url(#clip000)\" style=\"stroke:#000000; stroke-linecap:butt; stroke-linejoin:round; stroke-width:4; stroke-opacity:1; fill:none\" points=\"\n",
" 228.285,581.662 343.016,581.662 343.016,540.19 228.285,540.19 228.285,581.662 \n",
" \"/>\n",
"<path clip-path=\"url(#clip000)\" d=\"M383.85 562.558 L383.85 578.206 L379.591 578.206 L379.591 562.697 Q379.591 559.016 378.156 557.188 Q376.721 555.359 373.85 555.359 Q370.401 555.359 368.411 557.558 Q366.42 559.757 366.42 563.553 L366.42 578.206 L362.138 578.206 L362.138 542.188 L366.42 542.188 L366.42 556.308 Q367.948 553.97 370.008 552.813 Q372.091 551.655 374.799 551.655 Q379.267 551.655 381.559 554.433 Q383.85 557.188 383.85 562.558 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M392.346 552.28 L396.605 552.28 L396.605 578.206 L392.346 578.206 L392.346 552.28 M392.346 542.188 L396.605 542.188 L396.605 547.581 L392.346 547.581 L392.346 542.188 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M422.045 553.044 L422.045 557.072 Q420.239 556.146 418.295 555.683 Q416.35 555.22 414.267 555.22 Q411.096 555.22 409.498 556.192 Q407.924 557.164 407.924 559.109 Q407.924 560.59 409.059 561.447 Q410.193 562.28 413.619 563.044 L415.077 563.368 Q419.614 564.34 421.512 566.123 Q423.433 567.882 423.433 571.053 Q423.433 574.664 420.563 576.771 Q417.716 578.877 412.716 578.877 Q410.633 578.877 408.364 578.461 Q406.119 578.067 403.619 577.257 L403.619 572.859 Q405.98 574.086 408.272 574.711 Q410.563 575.312 412.809 575.312 Q415.818 575.312 417.438 574.294 Q419.058 573.252 419.058 571.377 Q419.058 569.641 417.878 568.715 Q416.721 567.789 412.762 566.933 L411.281 566.586 Q407.322 565.752 405.563 564.039 Q403.804 562.303 403.804 559.294 Q403.804 555.637 406.397 553.646 Q408.989 551.655 413.758 551.655 Q416.119 551.655 418.202 552.002 Q420.285 552.35 422.045 553.044 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M434.429 544.919 L434.429 552.28 L443.202 552.28 L443.202 555.59 L434.429 555.59 L434.429 569.664 Q434.429 572.836 435.285 573.738 Q436.165 574.641 438.827 574.641 L443.202 574.641 L443.202 578.206 L438.827 578.206 Q433.896 578.206 432.021 576.377 Q430.146 574.525 430.146 569.664 L430.146 555.59 L427.021 555.59 L427.021 552.28 L430.146 552.28 L430.146 544.919 L434.429 544.919 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M458.85 555.266 Q455.424 555.266 453.433 557.951 Q451.443 560.613 451.443 565.266 Q451.443 569.919 453.41 572.604 Q455.401 575.266 458.85 575.266 Q462.253 575.266 464.243 572.581 Q466.234 569.896 466.234 565.266 Q466.234 560.66 464.243 557.975 Q462.253 555.266 458.85 555.266 M458.85 551.655 Q464.405 551.655 467.577 555.266 Q470.748 558.877 470.748 565.266 Q470.748 571.632 467.577 575.266 Q464.405 578.877 458.85 578.877 Q453.271 578.877 450.1 575.266 Q446.952 571.632 446.952 565.266 Q446.952 558.877 450.1 555.266 Q453.271 551.655 458.85 551.655 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M494.868 564.942 Q494.868 560.313 492.947 557.766 Q491.049 555.22 487.6 555.22 Q484.174 555.22 482.253 557.766 Q480.354 560.313 480.354 564.942 Q480.354 569.549 482.253 572.095 Q484.174 574.641 487.6 574.641 Q491.049 574.641 492.947 572.095 Q494.868 569.549 494.868 564.942 M499.128 574.988 Q499.128 581.609 496.188 584.826 Q493.248 588.067 487.183 588.067 Q484.938 588.067 482.947 587.72 Q480.956 587.396 479.081 586.701 L479.081 582.558 Q480.956 583.576 482.785 584.062 Q484.614 584.549 486.512 584.549 Q490.702 584.549 492.785 582.349 Q494.868 580.174 494.868 575.752 L494.868 573.646 Q493.549 575.937 491.489 577.072 Q489.428 578.206 486.558 578.206 Q481.79 578.206 478.873 574.572 Q475.956 570.938 475.956 564.942 Q475.956 558.924 478.873 555.289 Q481.79 551.655 486.558 551.655 Q489.428 551.655 491.489 552.789 Q493.549 553.924 494.868 556.215 L494.868 552.28 L499.128 552.28 L499.128 574.988 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M522.924 556.262 Q522.206 555.845 521.35 555.66 Q520.516 555.451 519.498 555.451 Q515.887 555.451 513.942 557.813 Q512.021 560.151 512.021 564.549 L512.021 578.206 L507
" 228.285,612.766 343.016,612.766 \n",
" \"/>\n",
"<path clip-path=\"url(#clip000)\" d=\"M378.642 594.028 L378.642 597.569 L374.568 597.569 Q372.276 597.569 371.374 598.495 Q370.494 599.421 370.494 601.829 L370.494 604.12 L377.508 604.12 L377.508 607.43 L370.494 607.43 L370.494 630.046 L366.212 630.046 L366.212 607.43 L362.138 607.43 L362.138 604.12 L366.212 604.12 L366.212 602.315 Q366.212 597.986 368.225 596.018 Q370.239 594.028 374.614 594.028 L378.642 594.028 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M382.207 604.12 L386.466 604.12 L386.466 630.046 L382.207 630.046 L382.207 604.12 M382.207 594.028 L386.466 594.028 L386.466 599.421 L382.207 599.421 L382.207 594.028 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M399.591 596.759 L399.591 604.12 L408.364 604.12 L408.364 607.43 L399.591 607.43 L399.591 621.504 Q399.591 624.676 400.447 625.578 Q401.327 626.481 403.989 626.481 L408.364 626.481 L408.364 630.046 L403.989 630.046 Q399.059 630.046 397.184 628.217 Q395.309 626.365 395.309 621.504 L395.309 607.43 L392.184 607.43 L392.184 604.12 L395.309 604.12 L395.309 596.759 L399.591 596.759 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M418.179 596.759 L418.179 604.12 L426.952 604.12 L426.952 607.43 L418.179 607.43 L418.179 621.504 Q418.179 624.676 419.035 625.578 Q419.915 626.481 422.577 626.481 L426.952 626.481 L426.952 630.046 L422.577 630.046 Q417.646 630.046 415.771 628.217 Q413.896 626.365 413.896 621.504 L413.896 607.43 L410.772 607.43 L410.772 604.12 L413.896 604.12 L413.896 596.759 L418.179 596.759 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M454.73 616.018 L454.73 618.102 L435.146 618.102 Q435.424 622.5 437.785 624.815 Q440.169 627.106 444.406 627.106 Q446.859 627.106 449.151 626.504 Q451.466 625.902 453.734 624.699 L453.734 628.727 Q451.443 629.699 449.035 630.208 Q446.628 630.717 444.151 630.717 Q437.947 630.717 434.313 627.106 Q430.702 623.495 430.702 617.338 Q430.702 610.972 434.128 607.245 Q437.577 603.495 443.41 603.495 Q448.642 603.495 451.674 606.875 Q454.73 610.231 454.73 616.018 M450.47 614.768 Q450.424 611.273 448.503 609.19 Q446.605 607.106 443.457 607.106 Q439.892 607.106 437.739 609.12 Q435.609 611.134 435.285 614.791 L450.47 614.768 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M478.78 608.055 L478.78 594.028 L483.04 594.028 L483.04 630.046 L478.78 630.046 L478.78 626.157 Q477.438 628.472 475.378 629.606 Q473.341 630.717 470.47 630.717 Q465.771 630.717 462.808 626.967 Q459.868 623.217 459.868 617.106 Q459.868 610.995 462.808 607.245 Q465.771 603.495 470.47 603.495 Q473.341 603.495 475.378 604.629 Q477.438 605.741 478.78 608.055 M464.267 617.106 Q464.267 621.805 466.188 624.49 Q468.132 627.152 471.512 627.152 Q474.892 627.152 476.836 624.49 Q478.78 621.805 478.78 617.106 Q478.78 612.407 476.836 609.745 Q474.892 607.06 471.512 607.06 Q468.132 607.06 466.188 609.745 Q464.267 612.407 464.267 617.106 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M507.067 595.486 L513.364 595.486 L528.688 624.398 L528.688 595.486 L533.225 595.486 L533.225 630.046 L526.928 630.046 L511.604 601.134 L511.604 630.046 L507.067 630.046 L507.067 595.486 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M552.576 594.074 Q549.474 599.398 547.97 604.606 Q546.465 609.815 546.465 615.162 Q546.465 620.509 547.97 625.764 Q549.498 630.995 552.576 636.296 L548.873 636.296 Q545.4 630.856 543.664 625.602 Q541.951 620.347 541.951 615.162 Q541.951 610 543.664 604.768 Q545.377 599.537 548.873 594.074 L552.576 594.074 Z\" fill=\"#000000\" fill-rule=\"evenodd\" fill-opacity=\"1\" /><path clip-path=\"url(#clip000)\" d=\"M560.169 594.074 L563.873 594.074 Q567.345 599.537 569.058 604.768 Q570.794 610 570.794 615.162 Q570.794 620.347 569.058 625.602 Q567.345 630.856 563.873 636.296 L560.169 636.296 Q563.24
]
},
"execution_count": 4,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"(μ,σ) = (mean(R),std(R))\n",
"\n",
"xGrid = -5:0.25:5\n",
"pdfX = pdf.(Normal(μ,σ),xGrid) #\"Distributions\" wants σ, not σ^2\n",
"\n",
"do the rest..."
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Task 2\n",
"\n",
"1. Calculate the quantile 0.01 in the data and according to the fitted normal distribution. Change the sign and call it \"99% Value at Risk\". Hint: `quantile(R,0.01)`and `quantile(Normal(μ,σ),0.01)`\n",
"\n",
"2. Calculate the expected return conditional on the return being less than the 5th quantile, both in data and according to the normal distribution. Change sign and call it \"expected shortfall\". Hint: `mean(TruncatedNormal(μ,σ,-Inf,quantile001))`\n"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Task 3\n",
"\n",
"Construct an simple estimate of $\\sigma_t^2$ as a backward looking exponential moving average\n",
"\n",
"$\\sigma_t^2 = \\lambda \\sigma_{t-1}^2 + (1-\\lambda) (R_{t-1} -\\mu_{t-1})^2$,\n",
"where $\\mu_{t}=\\lambda \\mu_{t-1} + (1-\\lambda) R_{t-1}$ \n",
"\n",
"Use $\\lambda=0.94$\n",
"\n",
"Plot the standard deviation in a time series plot."
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Task 4\n",
"\n",
"Calculate 99% VaR and ES according to time-varying normal distributions `Normal(μ[t],sqrt(σ²[t]))` and plot the results (as time series plots)."
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
],
"metadata": {
"@webio": {
"lastCommId": null,
"lastKernelId": null
},
"anaconda-cloud": {},
"kernelspec": {
"display_name": "Julia 1.6.3",
"language": "julia",
"name": "julia-1.6"
},
"language_info": {
"file_extension": ".jl",
"mimetype": "application/julia",
"name": "julia",
"version": "1.6.3"
}
},
"nbformat": 4,
"nbformat_minor": 4
}