【FRM每日一题】一级：估值与风险模型
备考FRM一级 | 2015-09-16
Given that you are using a GARCH model to estimate volatility which you use to calculate the 1-day VaR. What can you say about the t day VaR, if volatility is mean reverting? A.It s less than the .
B.It is greater than .
C.It could be greater or less than the .
D.It is equal to .
Answer: C
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.>>>FRM五月真题
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