The weighting-of-observations procedure in Section 13.3 gives the one-day 99% VaR equal to $282,204 and the one-day

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The “weighting-of-observations” procedure in Section 13.3 gives the one-day 99% VaR equal to $282,204 and the one-day ES as $400,914. Use the spreadsheets on the author’s website to calculate these measures when the l parameter in this procedure is changed from 0.995 to 0.99.

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