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Kathy苏苏 · 2023年02月19日

基础讲义P476

NO.PZ2020021205000064

问题如下:

If you have five years of monthly data on a variable, how would you calculate its volatility?

选项:

解释:

If SiS_i is the value of the variable at the end of month i, the volatility is 12\sqrt{12} times the standard deviation of the 59 values of ln(Si/Si1)\ln(S_i/S_{i-1})

老师,基础讲义P476,这里的volatility是return的volatility吗?





1 个答案

李坏_品职助教 · 2023年02月19日

嗨,爱思考的PZer你好:


对的,确切来说是对数收益率,ln(St/St-1)的标准差。

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