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Suppose that a one-day 97.5% VaR is estimated at $13 million from 2,000 observations. The one-day changes are approximately normal with mean 0 and standard

Suppose that a one-day 97.5% VaR is estimated at $13 million from 2,000 observations. The one-day changes are approximately normal with mean 0 and standard deviation $6 million. Estimate a 99% confidence interval for the VaR estimate.

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