The weighting-of-observations procedure in Section 14.3 gives the one-day 99% VaR equal to $282,204. Use the spreadsheets
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The “weighting-of-observations” procedure in Section 14.3 gives the one-day 99% VaR equal to $282,204. 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 0.985.
AppendixLO1
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