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.
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。