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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?

Thanks in advance.

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3 Answers 3

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Use =PERCENTILE(range, 0.05)

where range refers to the returns in question

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

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

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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.

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

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