请问是如何得出结论的？
旅人祈愿 · 2018年11月16日
Assumes that there are 250d in a year.
t-statistic= (8-250x0.01)/square root(0.01x0.99x250)=3.49>2.56
So you reject the null.
(Maybe you will get 3.47 if you assume a different number rather than 250, but that's not a big difference)
LHY · 2018年11月16日
VaR's standard error = standard deviation * square root of number of days , right? which is different from the normal standard error which equals the "standard deviation of sample/ square root of number of samples-1".
旅人祈愿 · 2018年11月16日
U only use standard error when you are estimating sample statistics. In this case, it is not a sample, it's the whole population. So you just need to use standard deviation.
LHY · 2018年11月16日
ok got it thx!