Exercise Solution 14.11
- 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.
- 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.