Suppose that a one day 99 VaR is estimated as $10 million from 200 observations The one day changes are approximately normal with mean zero and standard deviation 6 5 million What is the 95 confidence interval for the VaR estimate Suppose that a one day 99 VaR is estimated as $10 million from 200 ...

To calculate the 95 confidence interval for the VaR estimate we can use the normal distributio ...

Suppose that a one-day 99% VaR is estimated as $10 million from 200 observations. The one-day...

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Suppose that a one-day 99% VaR is estimated as $10 million from 200 observations. The one-day...

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