Suppose that a 1-day 975 var is estimated as 13 million

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Suppose that a 1-day 97.5% VaR is estimated as $13 million from 2.000 observations. The observations on the 1-day changes are approximately normal with mean 0 and standard deviation $6 million. Estimate a 99% confidence interval for the VaR estimate.

Reference no: EM13597474

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