Suppose that a one day 97 5 VaR is estimated as 13
Suppose that a one day 97 5 VaR is estimated as 13
Suppose that a one-day 97.5% VaR is estimated as $13 million from 2,000 observations. The one-day changes are approximately normal with mean zero and standard deviation $6 million. Estimate a 99% confidence interval for the VaR estimate.