问题如下:
Suppose mean reversion exists for a variable with a value of 30 at time period t - 1. Assume that the long-run mean value for this variable is 40 and ignore the stochastic term included in most regressions of financial data. What is the expected change in value of the variable for the next period if the mean reversion rate is 0.4?
选项:
A. -10.
B. -4.
C. 4.
D. 10.
解释:
The mean reversion rate, a, indicates the speed of the change or reversion back to the mean. If the mean reversion rate is 0.4 and the difference between the last variable and long-run mean is 10 (= 40 - 30), the expected change for the next period is 4 (i.e., 0.4 x 10 = 4).
请问具体是哪个章节中的知识点和公式?