题目
Which of the following approaches to value at risk (VaR) estimation is the LEAST dependent (if at all) on the historical return series?
选项
A.Parametric
B.GARCH(1,1)
C.Hybrid of parametric and nonparametric
D.Implied volatility
答案
D
解析
Implied volatility uses current prices.###In regard to (A), parametric approaches tend to use the historical returns to inform (fit) the parameters, at least.###In regard to (B), EWMA is parametric and hybrid is non-parametric 隐含波动率使用当前价格。关于（A），参数方法至少倾向于使用历史收益来告知（拟合）参数。关于（B），EWMA是参数性的，混合是非参数性的