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Roseline · 2020年01月26日

问一道题:NO.PZ2019040801000027 [ FRM I ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

老师好,为什么第n天的协方差可以用画绿色的这个公式来计算?

3 个答案

orange品职答疑助手 · 2020年02月11日

嗯嗯,今年考纲是改了。

要不这样,看看强化班讲义里何老师有没有把这个知识点给剔掉,如果何老师认为不重要了,就不用掌握啦

Sirsirius · 2020年10月08日

今年还有吗?

zj120299785 · 2020年02月06日

今年没有讲到这个公式,去年框架图里是有

orange品职答疑助手 · 2020年02月04日

同学你好,这个是EWMA算协方差的公式呀

Drink H · 2020年02月05日

2020的讲义里EWMA模型没有提及协方差公式

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NO.PZ2019040801000027问题如下The pripercent changes of stoX anY were 5.0% an1.0%, respectively. The correlation estimate baseon the historicta of the two on y n-1 is 0.6, the estimatestanrviations of priof X anY on y n-1 were 2.3% an1.7%, respectively. Suppose the analyst uses the EWMA mol with λ = 0.97 to upte the correlation ancovariance. Whis the new estimate of the correlation between X anY on y n?A.0.34.B.0.42.C.0.60.0.68.C is correct.考点EWMA模型解析先计算y n-1时候的协方差cov(X, Y) = ΡX,Y x σXσY = 0.6 * 2.3% * 1.7% = 0.000235然后通过EWMA模型估计y n的协方差covn = 0.97 * 0.000235 + 0.03 * 5% * 1% = 0.00024295估计X的方差σ2X,n = 0.97 x 0.023^2 + 0.03 x 0.05^2 = 0.00058813X的标准差就是0.00058813^0.5=0.02425估计Y的方差σ2Y,n = 0.97 x 0.0172 + 0.03 x0.012 = 0.0003078 + 0.000003 = 0.0002833Y的标准差就是0.0002833^0.5=0.01683最后新的相关系数就是协方差除以X标准差再除以Y的标准差0.00024295/(0.02425*0.01683)=0.5952老师好,请问EWMA和GARCH的covariance是在课程哪里讲的呢?看了下笔记和课程没找到。

2024-05-22 16:43 1 · 回答

NO.PZ2019040801000027问题如下The pripercent changes of stoX anY were 5.0% an1.0%, respectively. The correlation estimate baseon the historicta of the two on y n-1 is 0.6, the estimatestanrviations of priof X anY on y n-1 were 2.3% an1.7%, respectively. Suppose the analyst uses the EWMA mol with λ = 0.97 to upte the correlation ancovariance. Whis the new estimate of the correlation between X anY on y n?A.0.34.B.0.42.C.0.60.0.68.C is correct.考点EWMA模型解析先计算y n-1时候的协方差cov(X, Y) = ΡX,Y x σXσY = 0.6 * 2.3% * 1.7% = 0.000235然后通过EWMA模型估计y n的协方差covn = 0.97 * 0.000235 + 0.03 * 5% * 1% = 0.00024295估计X的方差σ2X,n = 0.97 x 0.023^2 + 0.03 x 0.05^2 = 0.00058813X的标准差就是0.00058813^0.5=0.02425估计Y的方差σ2Y,n = 0.97 x 0.0172 + 0.03 x0.012 = 0.0003078 + 0.000003 = 0.0002833Y的标准差就是0.0002833^0.5=0.01683最后新的相关系数就是协方差除以X标准差再除以Y的标准差0.00024295/(0.02425*0.01683)=0.5952有快速计算方法吗,或者计算机简便方式

2024-04-04 14:29 1 · 回答

NO.PZ2019040801000027 问题如下 The pripercent changes of stoX anY were 5.0% an1.0%, respectively. The correlation estimate baseon the historicta of the two on y n-1 is 0.6, the estimatestanrviations of priof X anY on y n-1 were 2.3% an1.7%, respectively. Suppose the analyst uses the EWMA mol with λ = 0.97 to upte the correlation ancovariance. Whis the new estimate of the correlation between X anY on y n? A.0.34. B.0.42. C.0.60. 0.68. C is correct.考点EWMA模型解析先计算y n-1时候的协方差cov(X, Y) = ΡX,Y x σXσY = 0.6 * 2.3% * 1.7% = 0.000235然后通过EWMA模型估计y n的协方差covn = 0.97 * 0.000235 + 0.03 * 5% * 1% = 0.00024295估计X的方差σ2X,n = 0.97 x 0.023^2 + 0.03 x 0.05^2 = 0.00058813X的标准差就是0.00058813^0.5=0.02425估计Y的方差σ2Y,n = 0.97 x 0.0172 + 0.03 x0.012 = 0.0003078 + 0.000003 = 0.0002833Y的标准差就是0.0002833^0.5=0.01683最后新的相关系数就是协方差除以X标准差再除以Y的标准差0.00024295/(0.02425*0.01683)=0.5952 估计y n的协方差covn = 0.97 * 0.000235 + 0.03 * 5% * 1% = 0.00024295这步是什么意思?具体使用的公式是哪个公式?XY的协方差不是已经在上一步计算出来是0.000235吗?此处的协方差是什么的协方差?

2023-06-12 23:23 1 · 回答

NO.PZ2019040801000027 问题如下 The pripercent changes of stoX anY were 5.0% an1.0%, respectively. The correlation estimate baseon the historicta of the two on y n-1 is 0.6, the estimatestanrviations of priof X anY on y n-1 were 2.3% an1.7%, respectively. Suppose the analyst uses the EWMA mol with λ = 0.97 to upte the correlation ancovariance. Whis the new estimate of the correlation between X anY on y n? A.0.34. B.0.42. C.0.60. 0.68. C is correct.考点EWMA模型解析先计算y n-1时候的协方差cov(X, Y) = ΡX,Y x σXσY = 0.6 * 2.3% * 1.7% = 0.000235然后通过EWMA模型估计y n的协方差covn = 0.97 * 0.000235 + 0.03 * 5% * 1% = 0.00024295估计X的方差σ2X,n = 0.97 x 0.023^2 + 0.03 x 0.05^2 = 0.00058813X的标准差就是0.00058813^0.5=0.02425估计Y的方差σ2Y,n = 0.97 x 0.0172 + 0.03 x0.012 = 0.0003078 + 0.000003 = 0.0002833Y的标准差就是0.0002833^0.5=0.01683最后新的相关系数就是协方差除以X标准差再除以Y的标准差0.00024295/(0.02425*0.01683)=0.5952 助教你好一基础班讲的ARCH, EWMGARmol全是关于volatility,所有例题也是关于volatility,而这题涉及到的东西为什么没在基础班里面讲过?二这题所说的东西是指下方框架图这个知识吗?框架图上这块内容根本没出现在基础班讲义里面。基础班是漏了东西?还是这框架图和题目是多余的东西?

2023-06-12 01:41 1 · 回答

NO.PZ2019040801000027问题如下The pripercent changes of stoX anY were 5.0% an1.0%, respectively. The correlation estimate baseon the historicta of the two on y n-1 is 0.6, the estimatestanrviations of priof X anY on y n-1 were 2.3% an1.7%, respectively. Suppose the analyst uses the EWMA mol with λ = 0.97 to upte the correlation ancovariance. Whis the new estimate of the correlation between X anY on y n?A.0.34.B.0.42.C.0.60.0.68.C is correct.考点EWMA模型解析先计算y n-1时候的协方差cov(X, Y) = ΡX,Y x σXσY = 0.6 * 2.3% * 1.7% = 0.000235然后通过EWMA模型估计y n的协方差covn = 0.97 * 0.000235 + 0.03 * 5% * 1% = 0.00024295估计X的方差σ2X,n = 0.97 x 0.023^2 + 0.03 x 0.05^2 = 0.00058813X的标准差就是0.00058813^0.5=0.02425估计Y的方差σ2Y,n = 0.97 x 0.0172 + 0.03 x0.012 = 0.0003078 + 0.000003 = 0.0002833Y的标准差就是0.0002833^0.5=0.01683最后新的相关系数就是协方差除以X标准差再除以Y的标准差0.00024295/(0.02425*0.01683)=0.5952估计协方差在何处需确定公示

2023-02-02 02:01 1 · 回答