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 historical data, the long-run mean correlation of Dow stocks was 32%, and the regression output estimates the following regression relationship: Y = 0.24 - 0.75X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 36%. What is the expected correlation for May 2014 assuming the mean reversion rate estimated in the regression analysis?
选项:
A.32%.
B.33%.
C.35%.
D.37%
解释:
There is a-4% difference from the long-run mean correlation and April 2014 correlation (32% - 36% = -4%). The inverse of the P coefficient in the regression relationship implies a mean reversion rate of75%. Thus, the expected correlation for May 2014 is 33.0%:
您好,为什么这里不考虑波动率的变化,只考虑均值回归的那部分,有点不太理解,因为我看老师讲义上面的公式还有波动率这一项