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Given the following information about the recent portfolio returns and their conditional variance, please provide a 1% Value-at-Risk for tomorrow's return using the Risk Metric
Given the following information about the recent portfolio returns and their conditional variance, please provide a 1% Value-at-Risk for tomorrow's return using the Risk Metric approach with A=0.98 Table 1 time return conditional variance yesterday -0.01411.6E-5 today 0.0033 Please provide your answer in fractions of one (i.e. 5.36% as 0.0536) Answer: Given the following information about the recent portfolio returns and their conditional variance, please provide a 1% Value-at-Risk for tomorrow's return using the Risk Metric approach with A=0.98 Table 1 time return conditional variance yesterday -0.01411.6E-5 today 0.0033 Please provide your answer in fractions of one (i.e. 5.36% as 0.0536)
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