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Archie · 2022年12月17日

No.PZ2018122701000052 (选择题) β是负数

NO.PZ2018122701000052

问题如下:

Risk analyst uses data from the HS300 index over the past 260 weeks to estimate the long-term average correlation of the common stocks and mean reverting rate. And find the average long-term stock correlation of the HS 300 Index is 22%, and the regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume that in first week of March 2020, the average weekly correlation of all HS300 stocks was 65%. Based on the mean reverting rate in regression analysis, what is the estimated one-week autocorrelation?

选项:

A.

21.9%

B.

23%.

C.

35%

D.

45%

解释:

D is correct.

考点:Autocorrelation

解析:单期自相关率+均值回归率=1,所以自相关率只要拿1减去均值回归率,即1-0.55=0.45

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No.PZ2018122701000052 (选择题)

来源: 原版书

Risk analyst uses data from the HS300 index over the past 260 weeks to estimate the long-term average correlation of the common stocks and mean reverting rate. And find the average long-term stock correlation of the HS 300 Index is 22%, and the regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume that in first week of March 2020, the average weekly correlation of all HS300 stocks was 65%. Based on the mean reverting rate in regression analysis, what is the estimated one-week autocorrelation?


老师您好,我有点不明白这个-0.55的含义。在我的理解中,-0.55这个数字本身就代表了自相关系数是-.055。Y代表下一期的相关系数,X代表上一期的相关系数。为什么还需要计算呢。另外,题目告诉了我长期均值,那么0.34/0.22=1.55 = a,自相关系数=1-a = -0.55,这个结果我认为是佐证了上述对于 Y = 0.34-0.55X这个关系式的理解。但是答案不是这样理解的,所以我就有点困惑。希望老师能够帮我解答一下。谢谢!盼复

1 个答案
已采纳答案

李坏_品职助教 · 2022年12月17日

嗨,从没放弃的小努力你好:


可以看一下原版书对于这个地方的解释:

所以按照FRM的写法,均值复归系数等于这个beta的相反数,本题中就是(-0.55)的相反数,即55%。


注意这里的Y和X并不是相关系数的意思。

第一个截图里面的8.5式,前面的Y是St - St-1,也就是相邻两天的价格之差。这个统计模型的原理是,用价格差作为因变量Y,在Long term mean(μ)的基础上加上β * 前一天的价格St-1,所以β* X是在长期均值μ的基础上所做的均值修复。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ2018122701000052 问题如下 Risk analyst uses ta from the HS300 inx over the past 260 weeks to estimate the long-term average correlation of the common stocks anmereverting rate. Anfinthe average long-term stocorrelation of the HS 300 Inx is 22%, anthe regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume thin first week of Mar2020, the average weekly correlation of all HS300 stocks w65%. Baseon the mereverting rate in regression analysis, whis the estimateone-week autocorrelation? A.21.9% B.23%. C.35% 45% is correct.考点Autocorrelation解析单期自相关率+均值回归率=1,所以自相关率只要拿1减去均值回归率,即1-0.55=0.45. Y=0.34-0.55X 这个函数代表啥意思?怎么对应找a 呢?

2022-11-13 23:43 1 · 回答

NO.PZ2018122701000052 单期自相关率+均值回归率=1,这个结论哪里得来的?

2021-09-01 13:56 1 · 回答

NO.PZ2018122701000052 解析单期自相关率+均值回归率=1,所以自相关率只要拿1减去均值回归率,即1-0.55=0.45 . 李老说,如果是正的就是trenng,所以是auto=0.55,然后回归系数是0.45? ———————————————————————————————————————————————— 题目求的是autocorrelation,就是1-α。 但是αμ=0.34。根据μ求出α=1.55 1-α=-0.55。 后面为什么要再加上1,不懂,盼复

2021-02-01 20:59 3 · 回答

NO.PZ2018122701000052 李老说,如果是正的就是trenng,所以是auto=0.55,然后回归系数是0.45?

2021-01-31 05:45 3 · 回答