16.6 Time horizon Instead of calculating the 10-day, 99% VaR directly analysts usually calculate a 1-day 99% VaR and assume 10- day VaR=√10×1- day VaR This is exactly true when portfolio changes on successive days come from independent identically distributed normal distributions Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 16.6 Time Horizon • Instead of calculating the 10-day, 99% VaR directly analysts usually calculate a 1-day 99% VaR and assume • This is exactly true when portfolio changes on successive days come from independent identically distributed normal distributions 10 - day VaR = 10 1- day VaR