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9.13 Suppose that daily changes for a portfolio have first-order correlation with correlation… 1 answer below » 9.13 Suppose that daily changes for a portfolio 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? Nov 16 2015 11:40 AM
