pengyaning · 2023年10月15日
NO.PZ2023091601000081
问题如下：
A firm uses an EWMA model to
estimate the daily volatility of the return of a security. The following table
shows the beginning-of-day estimate of the daily volatility, the end-of-day
closing price, and the daily return, for each day during the past week:
Assuming the mean
daily return is zero and using the information above, what is the value of the
smoothing parameter used by the firm in its EWMA model?
选项：
A.0.93
0.894
0.96
0.98
解释：
求此题解析
NO.PZ2023091601000081问题如下 A firm uses EWMA mol toestimate the ily volatility of the return of a security. The following tableshows the beginning-of-y estimate of the ily volatility, the enof-yclosing price, anthe ily return, for eay ring the past week: Assuming the meanily return is zero anusing the information above, whis the value of thesmoothing parameter usethe firm in its EWMA mol? A.0.93 B.0.894 C.0.96 0.98 老师好，为什么Un-1不是-0.5%？而是0.52%？0.52%不是Un的收益率吗？
NO.PZ2023091601000081 问题如下 A firm uses EWMA mol toestimate the ily volatility of the return of a security. The following tableshows the beginning-of-y estimate of the ily volatility, the enof-yclosing price, anthe ily return, for eay ring the past week: Assuming the meanily return is zero anusing the information above, whis the value of thesmoothing parameter usethe firm in its EWMA mol? A.0.93 B.0.894 C.0.96 0.98
