2. Consider counterfactual scenarios where the volatility on the last day of the sample was three times

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2. Consider counterfactual scenarios where the volatility on the last day of the sample was three times its actual value and also one-half its actual value. Recompute the 10-day VaR in exercise 1. What do you see?

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Elements Of Financial Risk Management

ISBN: 9780128102350

2nd Edition

Authors: Peter Christoffersen

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Question Posted: Oct 19, 2024 12:00 PM

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2. Consider counterfactual scenarios where the volatility on the last day of the sample was three times

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Elements Of Financial Risk Management

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