PRMIA 8008 Question Answer
The EWMA and GARCH approaches to volatility clustering can be applied to VaR calculations using:
historical simulations
analytical VaR
Monte Carlo simulations
all of the above
The EWMA and GARCH approaches to volatility clustering are independent of the method used to calculate VaR. Therefore Choice 'd' is the correct answer
TESTED 25 Feb 2026
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