At the end of Section 20.6, the VaR for the four-index example was calculated using the model-building
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At the end of Section 20.6, the VaR for the four-index example was calculated using the model-building approach. How does the VaR calculated change if the investment is $2.5 million in each index? Carry out calculations when a) volatilities and correlations are estimated using the equally weighted model and b) when they are estimated using the EWMA model with λ = 0.94. Use the spreadsheets on the author’s web site.
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The alphas row 21 for equal weights and row 7 for ...View the full answer
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