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Ratio Of T Days Var For Different T When There Is 1St Oredr Autocorrelation. T=1 T=2 T=5 T=10 T=50 Ρ=0 Ρ=0.05 Ρ=0.1 Ρ=0.2

This document shows how the value at risk (VaR) ratio changes for different time periods (T) when there is first-order autocorrelation (ρ) in returns. The VaR ratio increases as the time period or autocorrelation increases, such that longer time periods and higher autocorrelation lead to higher VaR ratios.

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17 views

Ratio Of T Days Var For Different T When There Is 1St Oredr Autocorrelation. T=1 T=2 T=5 T=10 T=50 Ρ=0 Ρ=0.05 Ρ=0.1 Ρ=0.2

This document shows how the value at risk (VaR) ratio changes for different time periods (T) when there is first-order autocorrelation (ρ) in returns. The VaR ratio increases as the time period or autocorrelation increases, such that longer time periods and higher autocorrelation lead to higher VaR ratios.

Uploaded by

happypallav
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Ratio of T days VaR for different T when there is 1st oredr autocorrelation.

T=1
T=2
T=5
T=10
T=50
=0
3.16
=0.05
3.31
7.43
=0.1
3.46
7.80
=0.2
3.79
8.62

1st oredr autocorrelation.


T=250
16.62
17.47
19.35

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