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和棋 · 2020年09月05日

问一道题：NO.PZ2016062402000043

  1. FRM I
  2. Quantitative

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：

A.

The recalculated VAR will be less than the original VAR.

B.

The recalculated VAR will be equal to the original VAR.

C.

The recalculated VAR will be greater than the original VAR.

D.

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.

你好，我对题目中有一点比较疑惑。因为我们知道天然气有季节性的特点，冬天的时候波动性高，夏天波动性低。题目中没有明确是哪个季节，如果题目中是夏季，Var算出来就低，乘上根号下T得出的长期Var就偏低。如果是冬季，Var算出来高，乘根号下T算出来值就篇高。所以我觉的应该选D。

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1 个答案

品职答疑小助手雍 · 2020年09月05日

嗨，爱思考的PZer你好：


做题的时候不要带入额外的认知，这题其实就是7组普通数据，和带有均值复归特点的7组数据的波动性哪个大的问题。

均值复归是可以减小波动性的。所以新的var会被直接用平方根法则算的var小。


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