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Suppose that a one-day 99% VaR is estimated as $10 million from 200 observations. The one-day changes are approximately normal with mean zero and

Suppose that a one-day 99% VaR is estimated as $10 million from 200 observations. The one-day changes are approximately normal with mean zero and standard deviation 6.5 million. What is the 95% confidence interval for the VaR estimate?

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