NO.PZ2019040801000078
问题如下:
Bridgewood uses an exponentially weighted moving average model (EWMA) to model the daily volatility of a stock. The decay factor is 0.85. The current estimate of daily volatility 2.5%. The stock closed at $35 yesterday and today's closing price is $33. Assume that we use continuously compounded returns. What is the updated estimate of volatility?
选项:
A. 5.429%.
B. 3.241%.
C. 3.009%.
D. 2.739%.
解释:
B is correct.
考点:Estimating Volatilities
解析:使用EWMA模型,Updated volatility estimate = [λ*(volatility_(t-1))^2 + (1-λ)*(current return)^2]^0.5
由题目条件,λ=0.85。而 Current return = ln(price today / price yesterday) =ln(33/35) = -5.884%
所以 Updated volatility estimate = [0.85*2.5%^2+0.15*(-5.884%)^2]^0.5 =3.241%
我计算的In(33/35)=3.555. 不知道是不是我的错