Which of the Following Is a Problem Encountered While Using

question 87

Multiple Choice

Which of the following is a problem encountered while using more observations in the back simulation approach?

• A)Past observations become decreasingly relevant in predicting VAR in the future.
• B)Calculations become highly complex.
• C)Need to assume a symmetric (normal) distribution for all asset returns.
• D)Requirement for calculating the correlations of asset returns.
• E)Calculations become highly complex; need to assume a symmetric (normal) distribution for all asset returns.

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Definitions:

Expected Frequencies

The counts that one would expect in a statistical distribution, based on a specific hypothesis or model.

Chi-Squared Test Statistic

A statistical measure used to determine the goodness of fit between observed values and values expected theoretically.

Level of Significance

Another term for significance level, indicating the threshold below which the null hypothesis is rejected in statistical tests.

Degrees of Freedom

refers to the number of independent values in a statistical calculation that can vary without violating any given constraints.