The confidence interval (CI) of the slope coefficient is given by β(1) +/- Standard_Error[β(1)]*Z(α), where Z(α) is the student's t or normal deviate based on the desired confidence level; e.g., if the 2-sided confidence level is 95.0%, the Z(0.95) = 1.96.
David's XLS: https://trtl.bz/2vEB0aE

The explores the answer to Miller's EOC Question #2: "You are given the following sample of annual returns for a portfolio manager. If you believe that the distribution of returns has been stable over time and will continue to be stable over time, how confident should you be that the portfolio...

Learning objectives: Calculate and interpret the sample mean and sample variance. Construct and interpret a confidence interval. Construct an appropriate null and alternative hypothesis, and calculate an appropriate test statistic.
Questions:
For the following questions, please feel free to...

Question 4:
Suppose you invest in a product whose returns follow a uniform distribution between −40% and
+60%. What is the expected return? What is the 95% VaR? The expected shortfall?
Answer:
The expected return is +10%. The 95% VaR is 35% (i.e., 5% of the returns are expected to be
worse than...

When calculating a confidence interval for VaR, we need to take into account the bin size (i.e. the width of the rectangles in the histogram bars). Why is it when we increase the bin size, this reduces the length of the confidence interval? I am trying to think about it from an intuitive...

Hi David,
209.2 Over the last two years, a fund produced an average monthly return of +3.0% but with monthly volatility of 10.0%. That is, assume the random sample size (n) is 24, with mean of 3.0% and sigma of 10.0%. Further, the population's returns are normal. Are the returns statistically...

Hi BT forum,
Need your help, I'm thoroughly confused by this question and its answer - since the calculated t-value equals the critical t at 5%, aren't we saying we are accepting the null hypothesis that the population average refund mu=$882 (assuming that was the null since alternative is...

Hi David,
I'm trying to grasp the big picture regarding var.
a) In general -- if there were NO exceedes in VAR (supposing you have a VAR model and evaluating the effectiveness of the model), then you would say that the model is not a very good one, and it's set too low, as you would...

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