NO.PZ2016062402000052
问题如下:
Which of the following four statements on models for estimating volatility is incorrect ?
选项: In
the EWMA model, some positive weight is assigned to the long-run average
variance rate.
In the EWMA model, the weights assigned to observations decrease exponentially as the observations become older.
C.In the GARCH(1,1) model, a positive weight is estimated for the long- run average variance rate.
D.In the GARCH(1,1) model, the weights estimated for observations decrease exponentially as the observations become older.
解释:
The GARCH model has a finite unconditional variance, so statement c. is correct. In contrast, because sum to 1, the EWMA model has undefined long-run average variance. In both models weights decline exponentially with time.
看到之前的解答中有提到,a是只为正数,而c是可以为正数。我想问的是,难道weighted不是只能为正数吗?为什么选项a还是错误呢,烦请解答一下,谢谢~