Stock prices in R

As per the Historical Simulation Approach, the VaR at three confidence levels, that is, 99%, 95% and 90% have remained constant during the 252 days periods. In case of 99% confidence, it was in range of 1.8% to 2.5%, decreasing initially and then increasing to 2.43% in the last 252-day period. In case of 95% confidence, it was in range of 1.3% to 1.73%, showing a positive linear relationship throughout the periods. In case of 90% confidence, the VaR has ranged between 1.03% to 1.36%, with a positive linear growth. This shows that the overall portfolio risk has been somewhat increasing but not at a higher pace.
Considering the Monte Carlo simulation method to determine VaR, it is 4% in case of 99% confidence and has remained at 5% in case of both 95% and 90% confidence. This shows that the overall value at risk of the portfolio is not more than 5% during the investment horizon.
Finally, as per the variance-covariance matrix, it can be seen that the covariance between the stock have remained lower showing that the portfolio is well diversified in different sectors. Thus, the value at risk is lower except that the variance of ITC is higher, depicting that the stock is risky because it has not moved significantly during the last 5 years.
Of all the methods, monte carlo simulation is the most appropriate method to be used because it takes various random iterations to determine the VaR at different confidence levels. Further, it also takes a random approach to what the...