题目
The standard VaR calculation for extension to multiple periods assumes that returns are serially uncorrelated. If prices display trends, the true VaR will be:
选项
A.The same as the standard VaR.
B.Greater than standard VaR.
C.Less than standard VaR.
D.Unable to be determined.
答案
B
解析
This question assumes that VaR is obtained from the volatility using a normal distribution. With trends, or positive correlation between subsequent returns, the 2-day variance is greater than the one obtained from the square root of time rule.该问题假设VaR是使用正态分布从波动率获得的。 对于趋势或后续收益之间的正相关性，两天的变化大于从时间规则的平方根获得的变化。