NO.PZ2023091701000105
问题如下：
A junior risk analyst is modeling the volatility of a certain market variable. The analyst considers using either the EWMA or the GARCH (1,1) model. Which of the following statements is correct?
选项：
A.The EWMA model is a special case of the GARCH (1,1) model with the additional assumption that the longrun volatility is zero.
B.A variance estimated from the GARCH (1,1) model is a weighted average of the prior day’s estimated variance and the prior day’s squared return.
C.The GARCH (1,1) model assigns a higher weight to the prior day’s estimated variance than the EWMA model.
D.A variance estimated from the EWMA model is a weighted average of the prior day’s estimated variance and the prior day’s squared return.
解释：
D is correct. The EWMA estimate of variance is a weighted average of the variance rate estimated for the prior day and the prior day’s observed squared return.
A is incorrect. EWMA is a particular case of GARCH (1,1) with the weight assigned to the long-run average variance rate as zero and the sum of the weights of the other two parameters equal to 1.
B is incorrect because there is also weight assigned to the long-run average variance rate.
C is incorrect because such a comparison can only be done under specific parameter configurations.
A之所以错，是因为说的是VL是0，但实际应该是gamma是0？就是VL的rate？
