Are these are actual market prices each week?  Or are they for an instrument
that only trades every few months, and someone has just filled in the data
with the most recent trade price?  If it is that, then there are only a few
actual data points.  If these are real prices from each week, then it might
be worth trying to understand the price formation process -- these numbers
don't look like most price series from auction markets.  The actual prices
are a little strange too, all of them look like they could be prices in 1/16
ticks, rounded to two digits, except for the 6.99.

-- Tony Plate

On Tue, Jan 26, 2010 at 1:25 AM, Bogaso <bogaso.christofer@gmail.com> wrote:

>
> Dear folks,
>
> I got a very notorious weekly price series where price seldom changes like
> :
>
> 6-Jan-92        4.38
> 13-Jan-92       4.38
> 20-Jan-92       4.38
> 27-Jan-92       4.38
> 3-Feb-92        4.38
> 10-Feb-92       4.38
> 17-Feb-92       4.38
> 24-Feb-92       4.38
> 2-Mar-92        4.38
> 9-Mar-92        4.38
> 16-Mar-92       4.38
> 23-Mar-92       4.38
> 30-Mar-92       4.38
> 6-Apr-92        4.38
> 13-Apr-92       4.38
> 20-Apr-92       6.56
> 27-Apr-92       6.56
> 4-May-92        6.56
> 11-May-92       6.56
> 18-May-92       6.56
> 25-May-92       6.56
> 1-Jun-92        6.56
> 8-Jun-92        6.63
> 15-Jun-92       6.63
> 22-Jun-92       6.63
> 29-Jun-92       6.63
> 6-Jul-92        6.63
> 13-Jul-92       6.63
> 20-Jul-92       6.99
> 27-Jul-92       6.99
> 3-Aug-92        6.99
> 10-Aug-92       6.99
> 17-Aug-92       6.99
> 24-Aug-92       6.99
> 31-Aug-92       6.99
> 7-Sep-92        6.99
> 14-Sep-92       6.99
> 21-Sep-92       6.99
> 28-Sep-92       6.99
> 5-Oct-92        6.99
> 12-Oct-92       6.99
> 19-Oct-92       6.99
> 26-Oct-92       6.99
> 2-Nov-92        6.99
> 9-Nov-92        6.99
> 16-Nov-92       6.99
> 23-Nov-92       6.99
> 30-Nov-92       6.99
> 7-Dec-92        6.99
> 14-Dec-92       6.99
> 21-Dec-92       6.99
> 28-Dec-92       6.99
> 4-Jan-93        6.99
> 11-Jan-93       6.99
> 18-Jan-93       6.99
> 25-Jan-93       6.99
> 1-Feb-93        6.99
> 8-Feb-93        6.99
> 15-Feb-93       6.99
> 22-Feb-93       6.99
> 1-Mar-93        6.99
> 8-Mar-93        6.99
> 15-Mar-93       6.99
> 22-Mar-93       6.56
> 29-Mar-93       6.56
> 5-Apr-93        6.56
> 12-Apr-93       6.56
> 19-Apr-93       6.56
> 26-Apr-93       6.56
> 3-May-93        6.56
> 10-May-93       6.63
> 17-May-93       6.63
> 24-May-93       6.63
> 31-May-93       6.63
> 7-Jun-93        6.63
> 14-Jun-93       6.63
> 21-Jun-93       6.99
> 28-Jun-93       6.99
> 5-Jul-93        6.99
> 12-Jul-93       6.99
> 19-Jul-93       6.99
> 26-Jul-93       6.99
> 2-Aug-93        6.99
> 9-Aug-93        6.99
> 16-Aug-93       6.99
> 23-Aug-93       6.99
>
> I have a mandate to calculate VaR on that price data, probably in
> Parametric
> way. My question is can I apply standard way which we generally use like
> log-normally distributed price, to calculate VaR here? Or some other
> modeling approach needs to be taken care? Can anyone please provide me any
> references over net, how to handle this type of scenario?
>
> Your help will be highly appreciated.
>
> Thanks,
> --
> View this message in context:
> http://n4.nabble.com/Need-help-please-tp1290132p1290132.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
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