• At the end of Section 22.8, the VaR for the four-index example was calculated using the model-building approach. How does the VaR calculated change if the investment is

$2.5 million in each index? Carry out calculations when

(a) volatilities and correlations are estimated using the equally weighted model and

(b) when they are estimated using the EWMA model with A = 0.94. Use the spreadsheets on the author’s website.