Using the same data as in the previous question, calculate the one-day 95% VaR using the hybrid
Question:
Using the same data as in the previous question, calculate the one-day 95% VaR using the hybrid method with a window of 256 days and a decay factor of 0.99.
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In order to calculate the hybrid VaR we need to calculate ...View the full answer
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Related Book For 
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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