procyclical
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Is Var procyclical or countercyclical
As per logic if there is economic boom var has to be low and high if there is bust.which implies it is countercyclical. However if time varying volatility is incorporated Var tends to be procyclical Can some one explain why?- saurabhpal49
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- countercyclical procyclical var
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- Forum: P2.T5. Market Risk (25%)