Value at Risk Calculation(VaR) - Tata Motors Ltd

Date Adj Close Return Sorted Return Replication Simulation Returns calculation of value at Risk(Historical)- Tata Motors
10/13/2021 506.9 4.435925 0.204467118 1 0.008310584
4/30/2020 93.3 0.405383 0.19321814 2 -0.027773322
5/20/2009 66.4 -0.61524 0.188256572 3 -0.007395452 Historical Approach
10/29/2019 172.4 0.167569 0.167569401 4 0.047899706 Mean 0.07%
10/27/2019 147.7 -0.5413 0.164367358 5 -0.022236888 Std. deviation 2.85%
2/2/2021 322 10.0314 0.151645183 6 0.013409496 min -17.58%
10/29/2008 29.2 -0.46963 0.141428493 7 0.034612039 max 20.45%
5/18/2009 55 0.996025 0.135909608 8 -0.030673679 cmp 573.1
12/4/2008 27.6 -0.25878 0.13283292 9 -0.01698695
4/2/2009 37.2 -0.66412 0.131388948 10 0.05528981 Monte Carlo Simulation Approach
6/5/2020 110.8 2.183569 0.124365482 11 0.012704599 Mean 0.04%
11/3/2008 34.8 -0.76475 0.123267602 12 -0.050912657 Std. deviation 2.86%
3/2/2010 147.9 -0.60723 0.122117175 13 0.03453659 min -10.16%
10/7/2021 376.5 27.12633 0.120369033 14 -0.027680864 max 11.21%
11/3/2000 13.4 -0.73967 0.118293461 15 0.026881028 cmp 573.1
4/15/2009 51.4 -0.76696 0.116398985 16 0.02590992
1/11/2021 220.6 1.103843 0.113550344 17 -0.008286604
9/7/2009 104.9 1.277106 0.113515544 18 0.029680346 Percentile Confidence VAR% Stock price Var(inr)
4/13/2009 46.1 -0.74934 0.111772493 19 -0.032061807 5% 95.0% -4.32% 597.8 -24.7
2/5/2020 183.8 0.317204 0.108931825 20 0.020169058 1% 99.0% -7.44% 615.7 -42.6
10/17/2019 139.5 10.63904 0.108462473 21 0.004319776 0.50% 99.5% -8.55% 622.1 -49
7/24/2001 12 -0.84164 0.108011517 22 0.05636441
7/28/2009 75.7 1.562462 0.107591777 23 0.017597758
3/13/2009 29.5 0.225841 0.107155159 24 0.014129606
6/11/2002 24.1 1.088531 0.106609887 25 0.013669671
3/14/2001 11.5 -0.84327 0.105263465 26 -0.073827336
1/23/2004 73.6 -0.01327 0.104191129 27 -0.024232888
4/9/2020 74.6 -0.44473 0.103550299 28 0.003580507
9/11/2019 134.4 3.177853 0.102132927 29 -0.015192635
1/2/2009 32.2 1.460646 0.10134504 30 0.026148767
10/22/2001 13.1 -0.96204 0.100325826 31 0.04341253
9/10/2013 344.3 0.837623 0.100062868 32 0.054449887
4/1/2019 187.4 0.079827 0.098504853 33 -0.006108355
11/18/2020 173.5 -0.44788 0.098101266 34 -0.058574107
8/14/2013 314.2 8.780277 0.09712901 35 -0.01393346
3/26/2009 32.1 0.982096 0.096975476 36 0.009907969
8/28/2000 16.2 -0.76198 0.095711226 37 -0.041351607
7/24/2009 68.1 -0.15497 0.095490214 38 0.041554212
1/27/2004 80.6 -0.82459 0.094896067 39 -0.003438036
5/31/2016 459.5 14.35641 0.091157211 40 -0.004308351
6/17/1998 29.9 -0.31574 0.089869542 41 0.024755011
12/29/1997 43.7 -0.63668 0.088736061 42 0.005231898
8/27/2019 120.3 4.756453 0.088647623 43 -0.015789507
2/6/2002 20.9 -0.08001 0.08732376 44 0.001444916
2/11/2002 22.7 -0.94379 0.086168554 45 -0.002627048
5/13/2022 404.3 -0.02754 0.085952192 46 0.012631615
10/11/2021 415.8 36.91898 0.085650834 47 0.000979146
9/19/2001 11 -0.92049 0.084992381 48 0.02018551
8/26/2020 137.9 7.766394 0.084972432 49 0.00789357
1/3/2001 15.7 -0.65837 0.084266911 50 0.027768396
4/2/1998 46 -0.77312 0.08333312 51 0.043656534
4/2/2019 202.9 -0.46753 0.083266563 52 -0.004185207
10/15/2015 381.1 1.63313 0.082316182 53 0.01049542
10/6/2020 144.8 3.647782 0.081030668 54 0.009552107
11/10/2008 31.1 0.638751 0.080824129 55 -0.037910882