问一道题：NO.PZ2016062402000049 [ FRM I ]

问题如下：

A bank uses the exponentially weighted moving average (EWMA) technique with λ of 0.9 to model the daily volatility of a security. The current estimate of the daily volatility is 1.5%. The closing price of the security is USD 20 yesterday and USD 18 today. Using continuously compounded returns, what is the updated estimate of the volatility?

选项：

3.62%

1.31%

2.96%

5.44%

解释：

The log return is ln(18/20)=-10.54%. The new variance forecasts is $h=0.90\times{(1.5^\wedge2)}+{(1-0.90)}\times10.54^\wedge2=0.001313$ , or taking the square root, 3.62%.

老师好，ln18/20=-0.105，这个-0.105我算成了百分比即-0.105%,应该怎么理解才正确？正确是-10.5%

添加评论

1 个答案

品职答疑小助手雍 · 2020年06月30日

嗨，从没放弃的小努力你好：

-0.105换算成百分比不就是-10.5%嘛~这个应该没啥疑问吧

-0.105%就等于-0.00105了啊

-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

添加评论

Drink H · 2020年06月30日

后来我自己理解了，直接算出来就是小数不是百分数，而按题目意思一眼就看出不符合逻辑嘛

1
回答
0
关注
561
浏览

我要回答关注问题

相关问题

NO.PZ2016062402000049 问题如下 A bank uses the exponentially weightemoving average (EWMtechnique with λ of 0.9 to mol the ily volatility of a security. The current estimate of the ily volatility is 1.5%. The closing priof the security is US20 yestery anUS18 toy. Using continuously compounreturns, whis the upteestimate of the volatility? A.3.62% B.1.31% C.2.96% 5.44% The log return is ln(18/20)=-10.54%. The new varianforecasts is h=0.90×(1.5∧2)+(1−0.90)×10.54∧2=0.001313h=0.90\times{(1.5^\wee2)}+{(1-0.90)}\times10.54^\wee2=0.001313h=0.90×(1.5∧2)+(1−0.90)×10.54∧2=0.001313, or taking the square root, 3.62%.

2022-08-28 10:30 3 · 回答

NO.PZ2016062402000049 1.31% 2.96% 5.44% The log return is ln(18/20)=-10.54%. The new varianforecasts is h=0.90×(1.5∧2)+(1−0.90)×10.54∧2=0.001313h=0.90\times{(1.5^\wee2)}+{(1-0.90)}\times10.54^\wee2=0.001313h=0.90×(1.5∧2)+(1−0.90)×10.54∧2=0.001313, or taking the square root, 3.62%.volatity1.5%为什么计算时候用1.5平方而没有带上百分号呢

2021-08-28 22:46 1 · 回答

这一题可以用（18－20）/20吗还是一定要取log 要如何知道要取log

2019-08-11 11:52 1 · 回答

没看明白

2018-04-16 18:18 2 · 回答

问一道题：NO.PZ2016062402000049 [ FRM I ]

1 个答案

1

0

561

相关问题