Normality tests

The first method to estimate VaR is based on a vital assumption that individual stock or portfolio returns follow a normal distribution. However, in the real world, we know that stock returns or portfolio returns do not necessarily follow a normal distribution. The following program tests whether Microsoft returns satisfy this assumption by using 5-year daily data:

from scipy import stats 
from matplotlib.finance import quotes_historical_yahoo_ochl as getData 
import numpy as np 
#	
ticker='MSFT' 
begdate=(2012,1,1) 
enddate=(2016,12,31) 
#
p =getData(ticker, begdate, enddate,asobject=True, adjusted=True) 
ret = (p.aclose[1:] - p.aclose[:-1])/p.aclose[1:] 
print 'ticker=',ticker,'W-test, and P-value' 
print(stats.shapiro(ret))
print( stats.anderson(ret))
ticker= MSFT W-test, and P-value
(0.9130843877792358, 3.2116320877511604e-26)
AndersonResult(statistic=14.629260310763584, critical_values=array([ 0.574,  0.654,  0.785,  0.915,  1.089]), significance_level...