Question: Suppose that daily changes for a portfolio have first-order correlation with a correlation parameter 0.18. The 10-day VaR, calculated by multiplying the one-day VaR by

Suppose that daily changes for a portfolio have first-order correlation with a correlation parameter 0.18. The 10-day VaR, calculated by multiplying the one-day VaR by 10, is $3 million. What is a better estimate of the VaR that takes account of autocorrelation?

5.0 million

3.5 million

3.3 million

4.2 million

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