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Suppose that a one-day 95% VaR is estimated as R15 million from 2, 000 observations. The one-day changes are approximately normal with mean zero and

Suppose that a one-day 95% VaR is estimated as R15 million from 2, 000 observations. The one-day changes are approximately normal with mean zero and standard deviation R5.5 million. Estimate a 99% confidence interval for the VaR estimate.

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