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%.
老师,我是通过计算求出来的23%不知道对不对。33%按照0.77回归率下一期应该是33.77%,那么自相关性应该为(33.77-33)/33=23.3%,这样理解是否正确?