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Given the following information about the recent portfolio returns and their conditional variance, please provide a1% Value-at-Risk for tomorrow's return using the RiskMetric approach with
Given the following information about the recent portfolio returns and their conditional variance, please provide a1% Value-at-Risk for tomorrow's return using the RiskMetric approach with =0.98
Table 1
time return conditional variance
yesterday -0.0141 1.6E-5
today 0.0033
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