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上小学 · 2023年01月31日

请问在讲义何处提到了预估协方差？garch 模型未发现相关内容。谢谢

  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。

请问预估协方差在讲义何处


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1 个答案

品职答疑小助手雍 · 2023年02月02日

同学你好，讲义里没有讲这个点，不过这个是可以和方差的预测类比的。

可以看一下这个回答https://class.pzacademy.com/qa/85057

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