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%:
想问一下这里的Y=0.24-0.75x这个公式的具体含义,怎么判断出0.75就是均值复归的速度的呢?