梦梦 · 2024年08月14日
NO.PZ2023091601000075
问题如下：
The current estimate of daily
volatility is 1.5%. The closing price of an asset yesterday was $30.00. The
closing price of the asset today is $30.50. Using the EWMA (Exponentially
Weighted Moving Average) model (with λ = 0.94), the updated estimate of
volatility is:
选项：
A.
1.5096%
B.
1.5085%
C.
1.5092%
D.
1.5083%
解释：
老师好，两道题都没明确说用连续复利计算收益率，但是第一道和第二道题计算收益率不一样，考试怎么分辨用哪个？比如看到哪些关键词？或者计算哪类题目？
NO.PZ2023091601000075 问题如下 The current estimate of ilyvolatility is 1.5%. The closing priof asset yestery w$30.00. Theclosing priof the asset toy is $30.50. Using the EWMA (ExponentiallyWeighteMoving Average) mol (with λ = 0.94), the upteestimate ofvolatility is: A.1.5096% B.1.5085% C.1.5092% 1.5083% ln30.5/30 用计算器怎么计算30.5/30→LN→X^2=0.000273这样对吗
NO.PZ2023091601000075 问题如下 The current estimate of ilyvolatility is 1.5%. The closing priof asset yestery w$30.00. Theclosing priof the asset toy is $30.50. Using the EWMA (ExponentiallyWeighteMoving Average) mol (with λ = 0.94), the upteestimate ofvolatility is: A.1.5096% B.1.5085% C.1.5092% 1.5083% 前一天的收益率为什么取对数？而不是用closing priof asset yestery$30.00.
