NO.PZ2016062402000046
问题如下:
Assume you are using a GARCH model to forecast volatility that you use to calculate the one-day VAR. If volatility is mean reverting, what can you say about the T-day VAR?
选项:
It is less than the one-day VAR.
B.It is equal to one-day VAR.
C.It is greater than the one-day VAR.
D.It could be greater or less than the one-day VAR
解释:
If the initial volatility were equal to the long-run volatility, then the T-day VAR could be computed using the square root of time rule, assuming normal distributions. If the starting volatility were higher, then the T-day VAR should be less than the one-day VAR. Conversely, if the starting volatility were lower, then the T-day VAR should be more than the long-run value. However, the question does not indicate the starting point. Hence, answer d. is correct.
上一题明明是小于根号下T天的波动率,这题就变成即可大于也可小于了