The formula is z value multiplied by standard deviation divided by the estimated number of days of root sign (actually z value multiplied by standard deviation).
Suppose the stock price is 100 and the standard deviation is 5.
Then, according to the VAR value, the stock price is in the range of 16 to 136.84, and there is a 99% possibility that it falls within the range of 100+/-2.33 * 5 * root sign 10.
Then talk about the marginal VAR value of futures.
The model of futures is z value multiplied by standard deviation multiplied by the systematic risk of the market.
The systematic risk of the market is equal to the covariance of the system divided by the variance.
Divide by a standard deviation after crossing the score.
That is, z value * standard deviation * system risk =Z value * standard deviation * covariance/variance =Z value * covariance/standard deviation.
I don't know if the landlord understands it. ...
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