来自：FRM > 一级 > 电脑版 > Unit 14.在险价值VaR 2020-11-08 13:14
什么情况下会出现“fat-yailed”
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liuxuyao 2020-11-09 09:34
致精进的你:
The most likely explanation for “fat tails” is that the second moment or volatility is time-varying for the unconditional distribution. For example, this explanation is much more likely given observed changes in volatility in interest rates prior to a much anticipated Federal Reserve announcement. Examining a data sample at different points of time from the full sample could generate fat tails in the unconditional distribution, even if the conditional distributions are normally distributed.
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