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Drink H · 2020年03月15日

问一道题:NO.PZ2020011303000086 [ FRM I ]

问题如下:

Suppose that the current volatility estimate is 3% per day and the long-run average volatility estimate is 2% per day. What are the volatility estimates in ten days and 100 days in a GARCH (1,1) model where ω= 0.000002, α= 0.04, and β= 0.94?

解释:

The expected variance rate in ten days is 0.02^2 + (0.04 + 0.94)^10 (0.03^2 0.02^2) = 0.000809, which corresponds to a volatility of 2.84%. The expected variance rate in 100 days is 0.02^2 + (0.04 + 0.94)^100 (0.03^2 0.02^2) = 0.000466, which corresponds to a volatility of 2.16%.

老师好,不明白这道题的解题过程
1 个答案

品职答疑小助手雍 · 2020年03月15日

同学你好,这个题是直接套的原版书的一个公式,有些超纲了,常规的话了解到普通的garch模型就可以了。

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NO.PZ2020011303000086问题如下Suppose ththe current volatility estimate is 3% per y anthe long-run average volatility estimate is 2% per y. Whare the volatility estimates in ten ys an100 ys in a GAR(1,1) mol where ω= 0.000002, α= 0.04, anβ= 0.94? The expectevarianrate in ten ys is 0.02^2 + (0.04 + 0.94)^10 (0.03^2– 0.02^2) = 0.000809, whicorrespon to a volatility of 2.84%. The expectevarianrate in 100 ys is 0.02^2 + (0.04 + 0.94)^100 (0.03^2 – 0.02^2) = 0.000466, whicorrespon to a volatility of 2.16%.题目问现在是volatility=3%,long-run average volatility=2%,利用GARCH(1,1)来计算10天和100天的volatility,ω=0.000002, α= 0.04, anβ= 0.94。10天volatility=[0.02^2 + (0.04 + 0.94)^10 (0.03^2– 0.02^2)]^0.5 = 2.84%.100天volatility=[0.02^2 + (0.04 + 0.94)^100 (0.03^2 – 0.02^2)]^0.5 =2.16%. 老师好,看不懂答案,1、这道题哪里的表述能看出u啊?也就是收益率?2、还有我写出的表达式除了不知道u(n-1),有其他哪里不对的地方吗?

2024-07-25 16:16 3 · 回答

NO.PZ2020011303000086问题如下 Suppose ththe current volatility estimate is 3% per y anthe long-run average volatility estimate is 2% per y. Whare the volatility estimates in ten ys an100 ys in a GAR(1,1) mol where ω= 0.000002, α= 0.04, anβ= 0.94? The expectevarianrate in ten ys is 0.02^2 + (0.04 + 0.94)^10 (0.03^2– 0.02^2) = 0.000809, whicorrespon to a volatility of 2.84%. The expectevarianrate in 100 ys is 0.02^2 + (0.04 + 0.94)^100 (0.03^2 – 0.02^2) = 0.000466, whicorrespon to a volatility of 2.16%.题目问现在是volatility=3%,long-run average volatility=2%,利用GARCH(1,1)来计算10天和100天的volatility,ω=0.000002, α= 0.04, anβ= 0.94。10天volatility=[0.02^2 + (0.04 + 0.94)^10 (0.03^2– 0.02^2)]^0.5 = 2.84%.100天volatility=[0.02^2 + (0.04 + 0.94)^100 (0.03^2 – 0.02^2)]^0.5 =2.16%. 为什么和上一题不一样

2023-05-08 22:03 1 · 回答