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hillock1122 · 2020年02月29日

问一道题:NO.PZ2016070201000039 [ FRM II ]

问题如下:

A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to estimate the long-run mean correlation of common stocks and the mean reversion rate. Based on this historical data, the long-run mean correlation of Dow stocks was 34%, and the regression output estimates the following regression relationship: Y = 0.262 - 0.77X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 33%. What is the estimated one-period autocorrelation for this time period based on the mean reversion rate estimated in the regression analysis?

选项:

A.

23%.

B.

26%.

C.

30%.

D.

33%

解释:

The autocorrelation for a one-period lag is 23% for the same sample. The sum of the mean reversion rate (77% given the beta coefficient of-0.77) and the one-period autocorrelation rate will always equal 100%.

请问:题中the long-run mean correlation和the average monthly correlation分别是什么意思?如果0.77是reverse Tate ,0.262是什么含义呢?

1 个答案

orange品职答疑助手 · 2020年02月29日

同学你好,0.262只是回归出来的一个常数项,没什么特别的含义啦。the long-run mean correlation是相关系数的长期均值水平,相关系数会往这个值去回归。the average monthly correlation其实只是四月的相关系数,也没什么特殊含义

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