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2#
发表于 2011-7-13 13:17
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| Not exactly. It depends on which method you use to calculate VAR(Analytical, Historical, or Monte Carlo). If you are using Analytical (which uses standard deviation, or SD), you'd have to multiply your daily SD by the square root of 30 to get your monthly SD, or you could just calculate monthly SD directly using monthly return data. From there you can calculate your monthly VAR. With historical VAR, you'd have to find the actual monthly return that corresponds to the lowest 5%. With Monte Carlo, you'd use monthly data for your simulations and let the simulation results tell you what the monthly VAR. |
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