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卡布达 · 2020年04月25日

问一道题:NO.PZ2016070201000008 [ FRM II ]

问题如下:

Which of the following statements about age-weighting is most accurate?

选项:

A.

The age-weighting procedure incorporates estimates from GARCH models.

B.

If the decay factor in the model is close to l, there is persistence within the data set.

C.

When using this approach, the weight assigned on day i is equal to:w(i)=λi1×(1λ)/(1λi)w{(i)}=\lambda^{i-1}\times{(1-\lambda)}/{(1-\lambda^i)}

D.

The number of observations should at least exceed 250.

解释:

If the intensity parameter (i.e., decay factor) is close to l, there will be persistence (i.e., slow decay) in the estimate. The expression for the weight on day i has i in the exponent when it should be n. While a large sample size is generally preferred, some of the data may no longer be representative in a large sample.

如果a选项改成ewma是不是就是对的呢

1 个答案

袁园_品职助教 · 2020年04月26日

同学你好!

可以这么理解,李老师上课也讲过。