Re: Ten-day 99% VaR has worked fine.

From: Mark Taranto
Affiliation:
Address: MarkTaranto@comcast.net
Date: 30 Oct 2006
Time: 09:23:27

Comments

I don't want to put words into Glyn's mouth -- but if you look at the 95% confidence bands on the 95% VaR and the 99% VaR you will have an idea why he objects. Also, the smaller the tail that you are looking at, the more the Peso problem rears its head. Missing data is a huge problem when trying to estimate information about the tails.

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