题目
Analyst Joe wants to apply the square root rule to scale daily asset volatility into monthly asset volatility. For example, if the daily volatility is (D), then the scaled monthly volatility will be given by M = D×√20. Consider the following possible assumptions: Ⅰ Each daily return has a normal distribution, although the mean and variance varies Ⅱ Knowledge of today's return gives no information about tomorrows return Ⅲ Daily returns are autocorrelated (positive serial correlation) Ⅳ Each daily return is non-normal, with heavy tail, although distributional moments are constant Joe is informed that application of the square root rule requires that returns are i.i.d. Therefore, which of the above assumptions is (are) necessary to legitimately scale the volatility?
选项
A.I. only
B.I. and II.
C.II. and III.
D.II. and IV
答案
D
解析
II. and IV. Normality is not required. The square root rule (SRR) assumes i.i.d. returns. "Knowledge of today's return gives no information about tomorrows return" signifies INDEPENDENCE. "Distributional moments are constant" signifies IDENTICAL DISTRIBUTIONS.数据不要求服从正态分布。平方根规则（SRR）假定数据是服从独立同分布的，今天的数据对于明天的数据是没有贡献的说明是独立，分布的矩是常数表示是相同的分布。