题目
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
A.It is less than the\u221at\u00d7one-day VaR .
B.It is equal to\u221at\u00d7one-day VaR .
C.It is greater than\u221at\u00d7one-day VaR.
D.It could be greater or less than the\u221at\u00d7one-day VaR.
答案
D
解析
Square root of time rule: If fluctuations in a stochastic process from one period to the next are independent, volatility increases with the square root of the unit of time. When volatility is mean reverting, the effect depends on whether we are currently above/below the long-run variance.时间的平方根规则：如果随机过程中从一个周期到下一个周期的波动是独立的，则波动率会随时间单位的平方根增加。 当波动率是均值回复时，影响取决于我们当前是否在长期方差之上或之下