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刘杨 · 2024年04月13日

请问如果

NO.PZ2023040502000041

问题如下:

Luke examines West Texas Intermediate (WTI) monthly crude oil price data, expressed in US dollars per barrel, for the 181-month period from August 2000 through August 2015.The end-of-month WTI oil price was$51.16 in July 2015 and $42.86 in August 2015 (Month 181).

AR(1) model: Oil pricet = b0 + b1Oil pricet–1 + et


Based on the mean-reverting level implied by the AR(1) model regression output, the forecasted oil price for September 2015 is most likely to be:

选项:

A.

less than $42.86

B.

equal to $42.86

C.

greater than $42.86

解释:

The mean-reverting level from the AR(1) model is calculated as:

b0/(1-b1)=1.5948/(1-0.9767) = $68.45

Therefore, the mean-reverting WTI oil price from the AR(1) model is $68.45.The forecasted oil price in September 2015 will likely be greater than $42.86because the model predicts that the price will rise in the next period from the August 2015 price of $42.86.

i请问如果算出来的均值水平小于8月的价格,那九月的价格要小于42吗?

1 个答案

品职助教_七七 · 2024年04月13日

嗨,努力学习的PZer你好:


不需要。均值复归的值是长期的均值水平,反应长期价格变动趋势,不受偶尔几个月数据的波动影响,所以无论8月价格如何,9月实际价格大于或小于这个均值水平都是正常的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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