Confidence interval for the var estimate, Accounting Basics

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Confidence interval for the var estimate

Problem:

Suppose that a 1 day 97.5% VaR is estimated as $13 million from 2000, observations. The 1-day changes are approximately normal with a mean of 0 and standard deviation of $6 million.

Required:

Question: Estimate a 99% confidence interval for the VaR estimate.

Note: Explain in detail and show all computations in proper way.

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Accounting Basics: Confidence interval for the var estimate

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Accounting Basics: Confidence interval for the var estimate

Reference No:- TGS0889012

Have a Question? (oR Write a Review)

Recent Questions Asked Accounting Basics

Q : Jack weighted average cost of capital

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Q : Compute the relevant initial outlay

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Request for Solution File

Ask an Expert for Answer!!

Accounting Basics: Confidence interval for the var estimate

Reference No:- TGS0889012

Recent Questions Asked Accounting Basics

Q : Jack weighted average cost of capital

Q : Amount of the initial cash flow

Q : Compute the relevant initial outlay

Q : How could phytoplankton migrate through the water

Q : Confidence interval for the var estimate

Q : What is the debt-equity ratio

Q : What seems to be the purpose of inflammation

Q : Gain or loss on the futures contract

Q : Npv of project-looner industries

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