Estimate a 99% confidence interval for the var estimate

Reference no: EM13283628

Suppose that a 1 day 97.5% VaR is estimated as $13 million from 2000, observations. The 1-day changes are approximately normal with a mean of 0 and standard deviation of $6 million. Estimate a 99% confidence interval for the VaR estimate.

Reference no: EM13283628

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