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Cooljas · 2024年05月05日

红框里为啥要这么算呀?

NO.PZ2023091601000073

问题如下:

Suppose that the current daily volatilities of asset X and asset Y are 1.0% and 1.2%, respectively. The prices of the assets at close of trading yesterday were $30 and $50 and the estimate of the coefficient of correlation between the returns on the two assets made at this time was 0.50. Correlations and volatilities are updated using a GARCH (1, 1) model. The estimates of the model's parameters are α = 0.04 and β = 0.94. For the correlation ω = 0.000001, and for the volatilities ω = 0.000003. If the prices of the two assets at close of trading today are $31 and $51, how is the correlation estimate updated?

选项:

A.

0.539

B.

0.549

C.

0.559

D.

0.569

解释:


The estimated covariance of n-1 is:




The covariance of n i:


The asset X’s variance of n is:


因此,

The asset Y’s variance of n is:


So,

The correlation is: 0.0000841 / (0.01189 × 0.01242) = 0.569



1 个答案

pzqa39 · 2024年05月05日

嗨,努力学习的PZer你好:


看不到红框在哪里 请问是哪一步不明白

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