Question: Use the SIM model and the EWMA approach (with the weighting factor, =0.97) to assess the accuracy of the 1-day VaR forecast (at the 5

Use the SIM model and the EWMA approach (with the weighting factor, =0.97) to assess the accuracy of the 1-day VaR forecast (at the 5^th percentile), over a chosen data sample.

1) Briefly state changes required to assess the above VaR forecast over 5 days.

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