NO.PZ2019040801000079
问题如下:
Anlyst Pengyu is using a GARCH(1,1) model to estimate daily variance on daily returns(rt) :
ht:=α0 + α1r2t-1 + βht-1
while α0 = 0.000003
α1 = 0.03
β = 0.94
What is the long-run annualized volatility estimate (assuming that volatility increases by the square root of time and 252 trading days in a year ?
选项:
A.
0.015%.
B.
1.00%.
C.
9.27%.
D.
15.87%.
解释:
D is correct.
考点:GARCH(1,1)模型
解析:首先求出γ,GARCH(1,1)中α1+β+γ=1,所以γ=1-0.03-0.94=0.03.
然后long-run daily variance= α0 / γ= 0.000003/0.03= 0.0001
那么波动率就是标准差,用方差开方即可:0.01.
最后年化0.01*(252^0.5)=15.87%
老师这个知识点有点忘了,可以具体解释一下这个题吗,γ是什么,variance是怎么算出来的