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Estimate of the var that takes account of autocorrelation

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Suppose that daily changes for a portfolio have first-order correlation with correlation parameter 0.12. The ten-day VaR, calculated by multiplying the one-day VaR by the square root of 10, is $2 million. What is a better estimate of the VaR that takes account of autocorrelation?

Reference no: EM13295535

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