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gratitudechi · 2020年09月02日

问一道题:NO.PZ2016070201000039 [ FRM II ]

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 this historical data, the long-run mean correlation of Dow stocks was 34%, and the regression output estimates the following regression relationship: Y = 0.262 - 0.77X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 33%. What is the estimated one-period autocorrelation for this time period based on the mean reversion rate estimated in the regression analysis?

选项:

A.

23%.

B.

26%.

C.

30%.

D.

33%

解释:

The autocorrelation for a one-period lag is 23% for the same sample. The sum of the mean reversion rate (77% given the beta coefficient of-0.77) and the one-period autocorrelation rate will always equal 100%.

请问 这里的意思是 滞后一期的 regression 系数和滞后一期的mean reversion 系数 之和等于一吗? 滞后一期的 regression系数为0.77?
1 个答案

袁园_品职助教 · 2020年09月02日

同学你好!

单期自相关率+均值回归率=1

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