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What is a better estimate of the VaR that takes account of autocorrelation Question 7: Suppose the daily changes for a portfolio have the following

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What is a better estimate of the VaR that takes account of autocorrelation

Question 7: Suppose the daily changes for a portfolio have the following characteristics: first-order correlation with correlation parameter: 10-day VaR, calculated by multiplying the one-day VaR by root square of 10, in million Ss: What is a better estimate ofthe VaR that takes account of autocorrelation?

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