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The one-day 97.5% VaR is estimated as $9 million from 1,500 observations. The one-day changes are approximately normal with mean zero and standard deviation $4

The one-day 97.5% VaR is estimated as $9 million from 1,500 observations. The one-day changes are approximately normal with mean zero and standard deviation $4 million. Estimate a 99% confidence interval for this VaR estimate.

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