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Estimate of the var that takes account of autocorrelation

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Question: Suppose that daily changes for a portfolio have first-order correlation with a correlation parameter of 0.15. The 10-day VaR, calculated by multiplying the one-day VaR by √10, is $3 million. What is a better estimate of the VaR that takes account of autocorrelation?

Reference no: EM133432687

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