volatity1.5%为什么计算时候没有百分号

NO.PZ2016062402000049

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%.

volatity1.5%为什么计算时候用1.5平方而没有带上百分号呢

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品职答疑小助手雍 · 2021年08月29日

嗨，努力学习的PZer你好：

计算的时候都带了的，要不算不出来0.001313的。

只是写式子的时候没带。

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努力的时光都是限量版，加油！

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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

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%.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%

2020-06-30 22:39 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

volatity1.5%为什么计算时候没有百分号

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