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N. X · 2023年11月05日

为什么冬天的波动率会影响夏天的计算呢

NO.PZ2023100703000005

问题如下:

The seasonal volatility of gas prices influenced by demand is obvious. In winter, forward prices are highly volatile, while in summer, forward prices volatilities are low. Which of the following descriptions is correct if we use unweighted historical data from the last three years in estimating VAR values?

选项:

A.Overestimates summer VAR, but underestimates winter VAR

B.Both summer VAR and winter VAR are overestimated

C.Both summer VAR and winter VAR are underestimated

D.Overestimates winter VAR, but underestimates summer VAR

解释:

When estimating VaR for summer using unweighted historical data, the high volatility from the winters over the last three years will increase the calculated VaR for the summer. This will result in an overestimation of summer VaR. When estimating VaR for winter using unweighted historical data, the low volatility from the summers over the last three years will drag down the calculated VaR for the winter. This will result in an underestimation of winter VaR.

为什么冬天的波动率会影响夏天的计算呢

1 个答案

李坏_品职助教 · 2023年11月05日

嗨,努力学习的PZer你好:


题目问的是,如果使用不加权重的过去三年的历史数据的话。


如果不加权重,过去三年历史数据必然包括了winter和summer。假如现在我们计算的是当前的summer VAR,但由于使用了三年这么长的数据集,那么过去三年间的winter数据会夸大现在我们算出来的VaR。

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