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不忘初心 · 2024年01月22日

可以这么理解吗？σ 周=根号下5*σ 天，σ 周>σ 天，在return的正态分布图上，σ变大，VaR条线就往左移，面积就变小.

  1. FRM I
  2. Quantitative

NO.PZ2016062402000043

问题如下：

Assume we calculate a one-week VAR for a natural gas position by rescaling the daily VAR using the square root of time rule. Let us now assume that we determine the true gas price process to be mean reverting and recalculate the VAR. Which of the following statements is true?

选项：

A.

The recalculated VAR will be less than the original VAR.

B.

The recalculated VAR will be equal to the original VAR.

C.

The recalculated VAR will be greater than the original VAR.

D.

There is no necessary relationship between the recalculated VAR and the original VAR.

解释：

With mean reversion, the volatility grows more slowly than the square root of time.

σ 周=根号下5*σ 天，σ 周>σ 天，1-σ变大，在return的正态分布图上，VaR条线就往左移，面积就变小。这么理解对吗？

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1 个答案

品职答疑小助手雍 · 2024年01月22日

同学你好，简单点看：这题其实就是7组普通数据，和带有均值复归特点的7组数据的波动性哪个大的问题。

均值复归是可以减小波动性的。所以新的var会被直接用平方根法则算的var小。

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