Suppose that daily changes for a portfolio have first-order correlation with correlation parameter 0.12. The 10-day VaR,

Question:

Suppose that daily changes for a have first-order correlation with correlation parameter 0.12. The 10-day VaR, calculated by multiplying the one-day VaR by , is $2 million. What is a better estimate of the VaR that takes account of autocorrelation?

Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...