Question
Use the SIM model and the EWMA approach (with the weighting factor, =0.97) to assess the accuracy of the 1-day VaR forecast (at the 5
Use the SIM model and the EWMA approach (with the weighting factor, =0.97) to assess the accuracy of the 1-day VaR forecast (at the 5th percentile), over a chosen data sample.
1) Briefly state changes required to assess the above VaR forecast over 5 days.
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A Simplify Way Of Practicalise Auditing Profession
Authors: DR LUKMAN A ABATAN
1st Edition
B09YVKHT6X, 979-8800165050
