Exercise Solution 14.11

  1. We use a spreadsheet to calculate the sample autocorrelations of the tn as –0.0045, 0.1350, 0.3118, –0.1062 and 0.0907 for lags 1 through 5.
  2. The maximum absolute value of the five autocorrelations is 0.3118. Exhibit 14.7 indicates that, for α + 1 = 125 days of data and significance level .05, we should  reject the VaR measure if that value exceeds 0.274. It does, so we reject the VaR measure.

 

Welcome!

Enter your address for insights that will transform your risk management.

Click the link in the email I just sent you to confirm your address and start your subscription.

Defining Risk

Enter your email address to receive your copy and subscribe to Glyn's Risk Management Newsletter.

Click the link in the email I just sent you to download your paper and start your subscription.