irene · 2021年09月25日
NO.PZ2020011303000087
问题如下：
Suppose that the price of asset X at the close of trading yesterday was USD 40 and its volatility
选项：
解释：
The new estimates of the variance rate of X is
0.95 × 0.015^2 + 0.05 × (−2/40)^2 = 0.000339
which corresponds to a new volatility of 1.84%. The new volatility for Y is1.67%. The
0.95 × 0.000102 + 0.05 × (−2/40) × (0.1/10) = 0.0000719
The new correlation is 0.0000719/(0.0184 × 0.0167) = 0.23.
请问考试new covariance的公式会考么？这个在考纲里么？上课似乎没讲吧
NO.PZ2020011303000087问题如下 Suppose ththe priof asset X the close of trang yestery wUS40 anits volatility wthen estimate1.5% per y. Suppose further ththe priof asset Y the close of trang yestery wUS10 anits volatility wthen estimate1.7%per y. The priof X anY the close of trang toy are US38 anUS10.1, respectively. The correlation between X anY westimate0.4 the close of trang yestery. Upte the volatility of X anY anthe correlation between X anY using the EWMA mol with λ equto 0.95. The new estimates of the varianrate of X is0.95 × 0.015^2 + 0.05 × (−2/40)^2 = 0.000339whicorrespon to a new volatility of 1.84%. The new volatility for Y is1.67%. The covarianyestery w0.015 × 0.017 × 0.4 = 0.000102. The new covarianis0.95 × 0.000102 + 0.05 × (−2/40) × (0.1/10) = 0.0000719The new correlation is 0.0000719/(0.0184 × 0.0167) = 0.23.题目问已知X资产昨日的收盘价是40，日波动率是1.5%。Y资产的昨日收盘价是10，日波动率是1.7%，X和Y今日收盘价是38和10.1，相关系数是0.4，λ是0.95，通过EMWA模型来计算一下新的X和Y的波动率以及correlation。Xvolatility=[0.95 × 0.015^2 +0.05 × (−2/40)^2]^0.5=1.84%Y volatility=1.76%covariance=0.95 × 0.000102+ 0.05 × (−2/40) × (0.1/10) = 0.0000719The new correlation is 0.0000719/(0.0184 × 0.0167) =0.23 可以讲一下变化之后的X，Y的volatility怎么算吗，老师讲过这个公式吗
NO.PZ2020011303000087 老师好，请问EWMA模型中的return不是对数收益率吗？应该用ln(pritoy/priyestery)来算的呀，这道题为什么直接用-2/40来算了？
请问new covariance的ewma 公式怎么出来的?
