感觉出题好不严谨

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：

The recalculated VAR will be less than the original VAR.

The recalculated VAR will be equal to the original VAR.

The recalculated VAR will be greater than the original VAR.

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.

这道题考的是方差与长期均值的距离吧

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1 个答案

李坏_品职助教 · 2025年06月29日

嗨，爱思考的PZer你好：

题目说gas price如果有均值回归特征的话，由此计算出来的VaR会怎样？

均值回归指的是价格不能一直涨，而是涨一段时间又会跌回去；并且价格也不会一直跌，跌了一段时间也会涨回来。这种价格变动，反映出来的特征是：波动率（就是标准差）是比较低的。

也就是均值回归情况下，波动率要低于时间平方根法则计算出的波动率。所以均值回归下的VaR也要小于时间平方根下的VaR。

所以选A。

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