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Suppose the daily changes for a portfolio have the following characteristics: first-order correlation with correlation parameter: 0.12 10-day VaR, calculated by multiplying the one-day VaR

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Suppose the daily changes for a portfolio have the following characteristics: first-order correlation with correlation parameter: 0.12 10-day VaR, calculated by multiplying the one-day VaR by root square of 10 , in million $s: 2.1 What is a better estimate of the VaR that takes account of autocorrelation

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