NO.PZ2022062761000017
问题如下:
A junior risk analyst is modeling the volatility of a certain market variable and is trying to decide between
EWMA and GARCH(1,1) models. Which of the following statements about the two models is correct?
选项:
A.
The EWMA model is a special case of the GARCH(1,1) model with the additional assumption that the long-run volatility is zero.
B.
A variance estimated from the GARCH(1,1) model is a weighted average of the prior day’s estimated
variance and the prior day’s squared return.
C.
The GARCH(1,1) model assigns a higher weight to the prior day’s estimated variance than the EWMA
model.
D.
A variance estimated from the EWMA model is a weighted average of the prior day’s estimated variance
and the prior day’s squared return.
解释:
中文解析:
EWMA 方差估计是前一天的方差和前一天的平方收益的加权平均值。
选D
The EWMA estimate of variance is a weighted average of the prior day’s variance and prior day’s squared return.
A is incorrect. EWMA is a particular case of GARCH(1,1) with the weight assigned to the long-run average variance rate as zero and the sum of the weights of the other two parameters equal to 1.
B is incorrect because there is also weight assigned to the long-run average variance rate.
C is incorrect because such a comparison can only be done under specific parameter
configurations.
我看解析说特定结构才能对比是什么意思?