开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

cenwandada · 2024年07月28日

这道题可以详细介绍一下吗，考点是啥

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2023100703000064

问题如下：

Risk analyst uses data from the HS300 index over the past 260 weeks to estimate the long-term average correlation of the common stocks and mean reverting rate. And find the average long-term stock correlation of the HS 300 Index is 22%, and the regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume that in first week of March 2020, the average weekly correlation of all HS300 stocks was 65%. Based on the mean reverting rate in regression analysis, what is the estimated one-week autocorrelation?

选项：

A.0.219

B.0.23

C.0.35

D.0.45

解释：

To find the estimated one-week autocorrelation based on the mean reverting process, we can use the following formula:



单期自相关率+均值回归率=1，所以自相关率只要拿1减去均值回归率，即1-0.55=0.45

这道题可以详细介绍一下吗，考点是啥

添加评论
1 个答案

pzqa27 · 2024年07月29日

嗨，努力学习的PZer你好：




要解决这个问题，我们需要理解如何使用回归输出基于均值回复来估计一周的自相关性。


给定数据

  • 长期平均股票相关性 (ρ): 22% (或 0.22)
  • 回归方程: Y=0.34−0.55XY = 0.34 - 0.55XY=0.34−0.55X
  • 2020年3月第一周的初始周度相关性 (ρ0​): 65% (或 0.65)


均值复归

在这种情况下，均值复归意味着相关性将随着时间推移回归到其长期平均值。回归为我们提供了当前相关性与未来相关性之间关系的信息。

回归方程是: Y=0.34−0.55X

这里，Y代表未来的相关性值，而 X 代表当前的相关性值。

回归方程中 X 的系数给出了均值回复率。在这种情况下，它是 −0.55。这可以解释为：如果相关性高于长期平均值，它将趋于减少；如果低于平均值，它将趋于增加。


估计一周自相关性

要估计一周的自相关性，我们需要理解当前周的相关性与下周相关性的关系。可以从均值回复率推导出一周的自相关性 (α)。

由于均值回复模型是： ρt+1=αρt+(1−α)ρ

我们从回归中知道： ρt+1=0.34−0.55ρt

我们可以将其与均值回复模型形式进行比较： α=1−0.55 α=0.45

因此，估计的一周自相关性为：

α=0.45

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 118

    浏览
相关问题

NO.PZ2023100703000064 问题如下 Risk analyst uses ta from the HS300 inx over the past 260 weeks to estimate the long-term average correlation of the common stocks anmereverting rate. Anfinthe average long-term stocorrelation of the HS 300 Inx is 22%, anthe regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume thin first week of Mar2020, the average weekly correlation of all HS300 stocks w65%. Baseon the mereverting rate in regression analysis, whis the estimateone-week autocorrelation? A.0.219 B.0.23 C.0.35 0.45 To finthe estimateone-week autocorrelation baseon the mereverting process, we cuse the following formula:单期自相关率+均值回归率=1，所以自相关率只要拿1减去均值回归率，即1-0.55=0.45 老师好，我还是没太懂，题都没看明白，那两个ρ是指什么，跟题目没关系吗？说的是什么意思呢？如果我们把数据套用St=au+(1-a)st-1，能把题目的数据落到公式上吗？谢谢

2024-10-29 13:58 2 · 回答

NO.PZ2023100703000064 问题如下 Risk analyst uses ta from the HS300 inx over the past 260 weeks to estimate the long-term average correlation of the common stocks anmereverting rate. Anfinthe average long-term stocorrelation of the HS 300 Inx is 22%, anthe regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume thin first week of Mar2020, the average weekly correlation of all HS300 stocks w65%. Baseon the mereverting rate in regression analysis, whis the estimateone-week autocorrelation? A.0.219 B.0.23 C.0.35 0.45 To finthe estimateone-week autocorrelation baseon the mereverting process, we cuse the following formula:单期自相关率+均值回归率=1，所以自相关率只要拿1减去均值回归率，即1-0.55=0.45 答案里说 均值回归项的系数是0.55，所以自相关系数就是1-0.55=0.45那为什么 均值回归项不能是0.34 呢？S(t+1)= + (1-a)S(t) 不也是均值回归项在前面吗？

2024-08-07 21:00 1 · 回答

NO.PZ2023100703000064问题如下Risk analyst uses ta from the HS300 inx over the past 260 weeks to estimate the long-term average correlation of the common stocks anmereverting rate. Anfinthe average long-term stocorrelation of the HS 300 Inx is 22%, anthe regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume thin first week of Mar2020, the average weekly correlation of all HS300 stocks w65%. Baseon the mereverting rate in regression analysis, whis the estimateone-week autocorrelation?A.0.219B.0.23C.0.350.45 To finthe estimateone-week autocorrelation baseon the mereverting process, we cuse the following formula:单期自相关率+均值回归率=1，所以自相关率只要拿1减去均值回归率，即1-0.55=0.45 公式只考虑 t时刻correlation系数且 用的不是-（1-a）=-0.55

2024-07-31 23:38 1 · 回答