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beiweiy · 2023年04月28日

请问c选项为何不能对比?

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?

1 个答案
已采纳答案

李坏_品职助教 · 2023年04月28日

嗨,从没放弃的小努力你好:


C说的是GARCH(1,1) 比EWMA分配给前一天方差更高的权重。


GARCH(1,1):

所以GARCH(1,1)给前一天方差的权重是β,而α+β<=1.




EWMA:

EWMA给前一天方差的权重是λ。


EWMA本身就是一种特殊的GARCH(1,1),只不过是γ=0。所以不能说GARCH(1,1)给前一天方差的权重比EWMA高。只有当特殊情况下,EWMA的λ=0,这个时候GARCH给前一天方差的权重更高。

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