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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

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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

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