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六姑娘 · 2021年09月01日

如题

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000052

问题如下：

Risk analyst uses data from the HS300 index over the past 260 weeks to estimate the long-term average correlation of the common stocks and mean reverting rate. And find the average long-term stock correlation of the HS 300 Index is 22%, and the regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume that in first week of March 2020, the average weekly correlation of all HS300 stocks was 65%. Based on the mean reverting rate in regression analysis, what is the estimated one-week autocorrelation?

选项：

A.

21.9%

B.

23%.

C.

35%

D.

45%

解释：

D is correct.

考点：Autocorrelation

解析：单期自相关率+均值回归率=1，所以自相关率只要拿1减去均值回归率，即1-0.55=0.45

.

单期自相关率+均值回归率=1，这个结论哪里得来的？

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1 个答案

DD仔_品职助教 · 2021年09月01日

嗨，努力学习的PZer你好：


同学你好~

这里是在基础班讲义第118页，以具体数字的形式展示出来的，如下图：

股票价格的波动是受到两部分影响的，第一部分就是autocorrelation还有另一个名字叫trending，也就是趋势影响；第二部分是长期均值，也就是mean reverting的影响，这俩部分与股票价格做回归，系数相加是等于1的。

同学可以再听一下MR基础段section4的how do correlation behave in the real world这个视频~

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

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NO.PZ2018122701000052 问题如下 Risk analyst uses ta from the HS300 inx over the past 260 weeks to estimate the long-term average correlation of the common stocks anmereverting rate. Anfinthe average long-term stocorrelation of the HS 300 Inx is 22%, anthe regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume thin first week of Mar2020, the average weekly correlation of all HS300 stocks w65%. Baseon the mereverting rate in regression analysis, whis the estimateone-week autocorrelation? A.21.9% B.23%. C.35% 45% is correct.考点Autocorrelation解析单期自相关率+均值回归率=1，所以自相关率只要拿1减去均值回归率，即1-0.55=0.45. No.PZ2018122701000052 (选择题)来源: 原版书Risk analyst uses ta from the HS300 inx over the past 260 weeks to estimate the long-term average correlation of the common stocks anmereverting rate. Anfinthe average long-term stocorrelation of the HS 300 Inx is 22%, anthe regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume thin first week of Mar2020, the average weekly correlation of all HS300 stocks w65%. Baseon the mereverting rate in regression analysis, whis the estimateone-week autocorrelation?老师您好，我有点不明白这个-0.55的含义。在我的理解中，-0.55这个数字本身就代表了自相关系数是-.055。Y代表下一期的相关系数，X代表上一期的相关系数。为什么还需要计算呢。另外，题目告诉了我长期均值，那么0.34/0.22=1.55 = a，自相关系数=1-a = -0.55，这个结果我认为是佐证了上述对于 Y = 0.34-0.55X这个关系式的理解。但是答案不是这样理解的，所以我就有点困惑。希望老师能够帮我解答一下。谢谢！盼复

2022-12-17 11:42 1 · 回答

NO.PZ2018122701000052 问题如下 Risk analyst uses ta from the HS300 inx over the past 260 weeks to estimate the long-term average correlation of the common stocks anmereverting rate. Anfinthe average long-term stocorrelation of the HS 300 Inx is 22%, anthe regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume thin first week of Mar2020, the average weekly correlation of all HS300 stocks w65%. Baseon the mereverting rate in regression analysis, whis the estimateone-week autocorrelation? A.21.9% B.23%. C.35% 45% is correct.考点Autocorrelation解析单期自相关率+均值回归率=1，所以自相关率只要拿1减去均值回归率，即1-0.55=0.45. Y=0.34-0.55X 这个函数代表啥意思？怎么对应找a 呢？

2022-11-13 23:43 1 · 回答

NO.PZ2018122701000052 解析单期自相关率+均值回归率=1，所以自相关率只要拿1减去均值回归率，即1-0.55=0.45 . 李老说，如果是正的就是trenng,所以是auto=0.55,然后回归系数是0.45? ———————————————————————————————————————————————— 题目求的是autocorrelation,就是1-α。 但是αμ=0.34。根据μ求出α=1.55 1-α=-0.55。 后面为什么要再加上1，不懂，盼复

2021-02-01 20:59 3 · 回答

NO.PZ2018122701000052 李老说，如果是正的就是trenng,所以是auto=0.55,然后回归系数是0.45?

2021-01-31 05:45 3 · 回答