The one-day 99% VaR is calculated for the four-index example in Section 22.2 as
Chapter 22, Problem 22.14(choose chapter or problem)
The one-day 99% VaR is calculated for the four-index example in Section 22.2 as $253,385. Look at the underlying spreadsheets on the authors website and calculate: (a) the one-day 95% VaR and (b) the one-day 97% VaR.
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