10-75 What is the 10-day VAR assuming the daily returns are independently distributed?

Question

Quizplus · Accepted Answer

To calculate the 10-day VAR assuming daily returns are independently distributed, we need to first calculate the daily standard deviation which is given as 0.015. Then, we can calculate the 10-day VAR using the formula: 10-day VAR = daily standard deviation * square root of 10.

Substituting the given values, we get:

10-day VAR = 0.015 * sqrt(10)
10-day VAR = 0.047451058
10-day VAR = -$389,135.09 (rounded to the nearest cent)

Therefore, the answer is (C) -$389,135.09.

10-75 What Is the 10-Day VAR Assuming the Daily Returns