The weighting-of-observations procedure in Section 14.3 gives the one-day 99% VaR equal to $282,204 for the example
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The “weighting-of-observations” procedure in Section 14.3 gives the one-day 99% VaR equal to $282,204 for the example considered. Use the spreadsheets on the author’s website to calculate the one-day 99% VaR when the
parameter in this procedure is changed from 0.995 to 0.99.
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