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Suppose that the change in the value of a portfolio over a one-day time-period is normal with a mean of zero and a standard deviation

Suppose that the change in the value of a portfolio over a one-day time-period is normal with a mean of zero and a standard deviation of $5 million. The first-order autocorrelation of daily changes is 0.1. The five-day 97.5% VaR is $ ____________. The five-day 99% VaR is $____________.

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