# Load selected data

data <- read.csv2("IBEX.csv")
data <- read.csv2("CAC.csv") 
data <- read.csv2("DAX.csv") 

head(data)
dim(data)

# Parameter estimations

val <- as.matrix(data[,2]) 
n <- nrow(val)

val.ln <- -diff(log(val)) # Factor risk changes

# Confidence level: 95%, 99% and 99.5%
alpha <- c(0.95,0.99,0.995)

# Empirical VaR calculation

VaR.alpha <- quantile(val.ln,alpha,type=1)
round(VaR.alpha,4)