开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

RyanR · 2023年01月28日

老师，不太明白怎么叫estimate covariance

  1. FRM I
  2. Quantitative

NO.PZ2019040801000066

问题如下：

Analyst Frank estimates the volatilities of two variables by using the GARCH(1,1) model. Now Frank plans to estimate covariance between the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, which models will Frank most likely choose?

选项：

A.

GARCH(1,1) model.

B.

Geometrically weighted historical volatility model.

C.

EWMA model.

D.

Weighted historical volatility model.

解释：

A is correct.

考点：Estimating Correlations

解析：想保持一致性，协方差的预估方法就要选择与波动率预估相同的方法。因为这两个变量的波动率使通过GARCH(1,1)模型来预估的，所以应该选择一致的GARCH(1,1)模型。

知道forecaste volatility怎么预测，variance预测也要用类似的办法去推公式吗

添加评论
1 个答案

品职答疑小助手雍 · 2023年01月28日

同学你好，本题考察的是如果要预测correlation的话，前后预测covariance和variance的方式要一致。

当然预测协方差，其实和方差是近似的，可以看一下这个回答https://class.pzacademy.com/qa/85057

  • 1

    回答

  • 0

    关注

  • 268

    浏览
相关问题

NO.PZ2019040801000066 问题如下 Analyst Frank estimates the volatilities of two variables using the GARCH(1,1) mol. Now Frank plans to estimate covarianbetween the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, whimols will Frank most likely choose? A.GARCH(1,1) mol. B.Geometrically weightehistoricvolatility mol. C.EWMA mol. Weightehistoricvolatility mol. A is correct.考点Estimating Correlations解析想保持一致性，协方差的预估方法就要选择与波动率预估相同的方法。因为这两个变量的波动率使通过GARCH(1,1)模型来预估的，所以应该选择一致的GARCH(1,1)模型。 Analyst Frank estimates the volatilities of two variables using the GARCH(1,1) mol. Now Frank plans to estimate covarianbetween the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, whimols will Frank most likely choose?您的回答正确答案是: AAGARCH(1,1) mol.BGeometrically weightehistoricvolatility mol.C不正确EWMA mol.eightehistoricvolatility mol.这个题目选garch，我先问一下那题目给出什么条件的时候会选ewma呢

2024-03-18 10:12 1 · 回答

NO.PZ2019040801000066问题如下Analyst Frank estimates the volatilities of two variables using the GARCH(1,1) mol. Now Frank plans to estimate covarianbetween the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, whimols will Frank most likely choose?A.GARCH(1,1) mol.B.Geometrically weightehistoricvolatility mol.C.EWMA mol.Weightehistoricvolatility mol.A is correct.考点Estimating Correlations解析想保持一致性，协方差的预估方法就要选择与波动率预估相同的方法。因为这两个变量的波动率使通过GARCH(1,1)模型来预估的，所以应该选择一致的GARCH(1,1)模型。请问预估协方差在讲义何处

2023-01-31 23:13 1 · 回答

NO.PZ2019040801000066 问题如下 Analyst Frank estimates the volatilities of two variables using the GARCH(1,1) mol. Now Frank plans to estimate covarianbetween the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, whimols will Frank most likely choose? A.GARCH(1,1) mol. B.Geometrically weightehistoricvolatility mol. C.EWMA mol. Weightehistoricvolatility mol. A is correct.考点Estimating Correlations解析想保持一致性，协方差的预估方法就要选择与波动率预估相同的方法。因为这两个变量的波动率使通过GARCH(1,1)模型来预估的，所以应该选择一致的GARCH(1,1)模型。 在课件哪里出现？

2023-01-27 09:05 1 · 回答

是怎么预估COV的？

2020-03-02 21:52 1 · 回答