# find the qth lower tail quantile

I have daily currency returns. For each month, I have to find the return associated to the 5% lower tail quantile for each currency (the lowest return or the second lowest return).

Could you please tell me how to do it using Excel?

Use =PERCENTILE(range, 0.05)

where range refers to the returns in question

Just arrange your data in ascending or descending order using filter tab in Excel.

Data $<-$ Filter $<-$ Sort Smallest to Largest

If there are 20 days in each month, then select second lowest return for each month.

Otherwise, You may use parametric approach to estimate 5% lower quantile for each and every month.

Use this R package: Performance Analytics Link: https://cran.r-project.org/web/packages/PerformanceAnalytics/index.html