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If volatility (0) is the current (today's) volatility estimate and volatility (t) is the volatility estimate on a previous day (t), which best describes volatility-weighted historical simulation?
A
First conduct typical historical simulation (HS) on return series. Then multiply VaR by volatility(0)/volatility(t)
B
First conduct typical historical simulation (HS) on return series. Then multiply VaR by volatility(t)/volatility(0)
