The first volatility-scaling procedure in Section 13.3 gives the one-day 99% VaR equal to $602,968 and the

Question:

The first “volatility-scaling” procedure in Section 13.3 gives the one-day 99% VaR equal to $602,968 and the one-day 99% ES equal to $786,855. Use the spreadsheets on the author’s website to calculate the VaR and ES when the l parameter in this procedure is changed from 0.94 to 0.92.

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