来自：FRM > 一级 > Valuation and Risk Management 2020-09-20 16:28
这题选波动率的条件分布还是非条件分布？
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178****6119
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1706天前
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178****6119
提问
148
上次登录
1706天前
jason 2020-09-20 17:51
致精进的你:
同学，答案选A，非条件分布哈
The real talent is resolute aspirations.
真正的才智是刚毅的志向。
追问12020-09-21 09:04
怎样判断这题是非条件分布还是条件分布？
回答2020-09-21 14:15
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.
