问题如下图:
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解释:
不太明白这道题题干的意思,它要估计的是年平均的volatility还是日平均volatility?题目里面说“using the data from the close of business on Janunary 13”是指用13号以后的什么数据呀?
NO.PZ2016062402000051 Exponentially weightewith a ily cfactor of 0.94 60-y equweight All of the above The EWMA mol puts a weight of 0.06 on the latest observation, whiis higher ththe weight of (1/60) = 0.0167 for the 60-y MA an(1/250) = 0.004 for the 250-y M0.94是ewma里的拉姆达吗?
NO.PZ2016062402000051 Until January 1999 the historicvolatility for the Brazilireversus the U.S. llhbeen very small for severyears. On January 13, Brazil abannethe fense of the currenpeg. Using the ta from the close of business on January 13, whiof the following metho for calculating volatility woulhave shown the greatest jump in measurehistoricvolatility? 250-y equweight Exponentially weightewith a ily cfactor of 0.94 60-y equweight All of the above The EWMA mol puts a weight of 0.06 on the latest observation, whiis higher ththe weight of (1/60) = 0.0167 for the 60-y MA an(1/250) = 0.004 for the 250-y Mily cfactor in EWMA是指gamma还是1-gamma?
在EWMA公式里面,voliatility的权重不是cfactor吗?1-cfactor 是mean的权重啊?
ewma的0.06是一个固定值吗?
老师这块没明白,衡量历史波动率的大小不应该是前边λ这个权重吗?