Homework about Financial Risk Management

Task 1

Go to Yahoo Finance and download historical data for SPY ETF over the last two years, starting from 2017 to today. Compute the daily return using the adjusted close price column. This should result in a new time series (column).

Task 2

Using the daily returns of the SPY ETF, calibrate a Geometric Brownian Motion process. Report the corresponding mu and sigma.

Task 3

Given the calibrated model, simulate the SPY price path over the next three months, i.e. 256/4=64 trading days. Provide a couple of plots to demonstrate this.

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