Question: The variance difference and ratio statistics can be easily generalized to multiperiod (q) returns. Let our sample consist of nq + 1 observations (Por... Png),

The variance difference and ratio statistics can be easily generalized to multiperiod (q) returns. Let our sample consist of nq + 1 observations (Por... Png), where is any integer greater than one and Pe denote the log price process, and let re = P Pt-1 continuously compounded returns. Assuming that no overlapping 9- period is considered, Which of the following is/are defined correctly? 71 I. A (Pan - Po) II. VAR(r) (-A)2 III. VAR(:(0)) - Ex-1(Pak - Pak-a 94)2 IV. VR(9) VAR) VAR (4) Select one: a. I, II, III, IV b. 1,11 c. lll @d. None of the options e. I, II, The variance difference and ratio statistics can be easily generalized to multiperiod (q) returns. Let our sample consist of nq + 1 observations (Por... Png), where is any integer greater than one and Pe denote the log price process, and let re = P Pt-1 continuously compounded returns. Assuming that no overlapping 9- period is considered, Which of the following is/are defined correctly? 71 I. A (Pan - Po) II. VAR(r) (-A)2 III. VAR(:(0)) - Ex-1(Pak - Pak-a 94)2 IV. VR(9) VAR) VAR (4) Select one: a. I, II, III, IV b. 1,11 c. lll @d. None of the options e

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