NO.PZ2016062402000043
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.
均值复归既可以向上也可以向下回归,为什么这道题就能肯定是向下呢?
Original VaR=weekly VaR
Resceduled VaR=根号7 * 1天的VaR
怎么比较大小呢
烦请老师解答,谢谢!