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Darlmao · 2018年08月19日

问一道题:NO.PZ2016062402000043 [ FRM I ]

请问这个解释是什么意思

问题如下图:

选项:

A.

B.

C.

D.

解释:

1 个答案

妙悟先生品职答疑助手 · 2018年08月19日

由于均值复归的特性,长期来看天然气的价格应该在均值周围波动,即长期的波动率比较小,用平方根法则把长期波动率转换为日波动率相应也就小,因此计算的VAR也小。

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