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张大龙 · 2025年02月27日

不是……这题就……生算？

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2020011303000083

问题如下：

Suppose that the observations on a stock price (in USD) at the close of trading on 15 consecutive days are 40.2, 40.0, 41.1, 41.0, 40.2, 42.3, 43.1, 43.4, 42.9, 41.8, 43.7, 44.3, 44.4, 44.8, and 45.1. Estimate the daily volatility.

选项：

A.

1.85%

B.

2.31%

C.

3.14%

D.

0.53%

解释：

The 14 daily returns are –0.498%, 2.75%, –0.243%, …. The average of the squared returns is 0.000534, and the volatility estimate is the square root of this or 2.31%.

题目问：假设股票价格在接下来的15天里是40.2, 40.0, 41.1, 41.0, 40.2, 42.3, 43.1, 43.4, 42.9, 41.8, 43.7, 44.3, 44.4, 44.8, and 45.1，估计一下每日收益率的波动率。

首先计算每日的收益率=(P1-P0)/P0

然后每一个值求平方，相加取均值之后等于0.000534

开根号之后就是波动率=2.31%

不是……这题就……生算？

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NO.PZ2020011303000083问题如下Suppose ththe observations on a stopri(in US the close of trang on 15 consecutive ys are 40.2, 40.0, 41.1, 41.0, 40.2, 42.3, 43.1, 43.4, 42.9, 41.8, 43.7, 44.3, 44.4, 44.8, an45.1. Estimate the ily volatility. The 14 ily returns are –0.498%, 2.75%, –0.243%, …. The average of the squarereturns is 0.000534, anthe volatility estimate is the square root of this or 2.31%. 题目问假设股票价格在接下来的15天里是40.2, 40.0, 41.1, 41.0, 40.2, 42.3,43.1, 43.4, 42.9, 41.8, 43.7, 44.3, 44.4, 44.8, an45.1，估计一下每日收益率的波动率。首先计算每日的收益率=(P1-P0)/P0然后每一个值求平方，相加取均值之后等于0.000534开根号之后就是波动率=2.31% 老师好，15天的价格，14个收益率，用excel计算这些收益率的方差是0.000498，不是0.000534，是我哪里算错了吗？

2024-07-25 16:23 1 · 回答

NO.PZ2020011303000083问题如下Suppose ththe observations on a stopri(in US the close of trang on 15 consecutive ys are 40.2, 40.0, 41.1, 41.0, 40.2, 42.3, 43.1, 43.4, 42.9, 41.8, 43.7, 44.3, 44.4, 44.8, an45.1. Estimate the ily volatility. The 14 ily returns are –0.498%, 2.75%, –0.243%, …. The average of the squarereturns is 0.000534, anthe volatility estimate is the square root of this or 2.31%.

2022-04-06 01:15 1 · 回答

NO.PZ2020011303000083 volatility^2 不是应该等于 average of the squarereturns - 均值的平方 吗? 这道题的答案 只算到 average of the squarereturns = 0.000534 然后直接开方了。 均值 = 0.00848 ，为什么不用 0.000534 - 0.00848^2

2022-03-05 10:59 1 · 回答

答案没看懂呢，能具体一些吗？

2020-09-17 21:13 5 · 回答

我把15天的价格输入计算器，算出sigma=1.697，我理解这个sigma是15天的价格波动率，那一天的价格波动率是不是就是1.697/根号10，但是算出来的结果不是答案那样的，求详细说明一下题目的解题过程

2020-06-30 15:28 1 · 回答