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6. (10 pts) Discuss the holding periods in VaR estimation and square root of time scaling. Now suppose the first-order autocorrelation for daily changes in

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6. (10 pts) Discuss the holding periods in VaR estimation and square root of time scaling. Now suppose the first-order autocorrelation for daily changes in the value of a portfolio is 0.12. The 10-day VaR, calculated by multiplying the one-day VaR by V10, is $2 million. What is a better estimate of the VaR that takes account of autocorrelation? 6. (10 pts) Discuss the holding periods in VaR estimation and square root of time scaling. Now suppose the first-order autocorrelation for daily changes in the value of a portfolio is 0.12. The 10-day VaR, calculated by multiplying the one-day VaR by V10, is $2 million. What is a better estimate of the VaR that takes account of autocorrelation

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