Compute the 5% value-at-risk from the Gaussian model

Now that you have calibrated the Gaussian model on ABC historical returns, your next task is to estimate the 5% value-at-risk based on this model. This is the Gaussian value-at-risk because it relies on the Gaussian model calibrated on the past returns.

To find the Gaussian value-at-risk, use the function NORMINV(). This function requires three arguments:

• The input to the inverse Gaussian distribution function, which in this case is 0.05 for 5%.
• The mean of the calibrated Gaussian model.
• The standard deviation of the calibrated Gaussian model.