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Discuss the holding periods in VaR estimation and the square root of time scaling assumption. Now suppose the first order autocorrelation for daily returns of

Discuss the holding periods in VaR estimation and the square root of time scaling assumption. Now suppose the first order autocorrelation for daily returns of the portfolio is 0.12. Suppose the 10-day VaR, calculated under square root scaling, is $2 million. Provide a better estimate of the VaR that takes account of the observed autocorrelation.

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