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Hermione · 2017年03月19日

VaR will be larger over a month or over a day?

Textbook Practice Question Reading 25, page 198 Q8 - D

Why VaR will be larger over a month than over a day? i.e. why volatility is higher over a month than a day?

1) As a month is longer than a day, shouldn't it have a longer period for mean reversion than over a day? For example, Company A's stock price could drop a lot due to some sudden negative noises re. the company; however noises might lose their effect after a few weeks

2) VaR (95%) = 1.65σ - μ. For short term, μ=0 while μ≠ 0 for longer term. Therefore for a positive return, longer term also has the chance to have lower VaR?


Hermione · 2017年03月20日

如果参照Alternative Investment 课后题答案page 126, Q10 A): "Lengthening the measurement interval will result in a lower estimate of volatility. Annualized std. dev of weekly returns is higher than of monthly returns." 这不是和VaR这道题目所说的volatility higher over a month than a day前后矛盾了吗?

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竹子 · 2017年03月20日

1、why volatility is higher over a month than a day?

我觉得这个从平方根法则中就能看出来,daily std dev=annual std dev/根号下250

2、长期是有可能是positive return,但也有可能是negative return,我们看的是平均数不是么?

3、另类里面说的是,年化的std dev如果是通过日数据来得到的话会比通过月数据来得到的高,所以可以被game。你再体会一下这句话和var这里讲的不是一件事情

Hermione · 2017年03月21日

谢谢!非常明了!

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