开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

wuzx · 2022年02月20日

0.94是ewma里的拉姆达吗?

NO.PZ2016062402000051

问题如下:

Until January 1999 the historical volatility for the Brazilian real versus the U.S. dollar had been very small for several years. On January 13, Brazil abandoned the defense of the currency peg. Using the data from the close of business on January 13, which of the following methods for calculating volatility would have shown the greatest jump in measured historical volatility?

选项:

A.

250-day equal weight

B.

Exponentially weighted with a daily decay factor of 0.94

C.

60-day equal weight

D.

All of the above

解释:

The EWMA model puts a weight of 0.06 on the latest observation, which is higher than the weight of (1/60) = 0.0167 for the 60-day MA and (1/250) = 0.004 for the 250-day MA.

0.94是ewma里的拉姆达吗?

1 个答案

DD仔_品职助教 · 2022年02月20日

嗨,从没放弃的小努力你好:


同学你好,

是的,具体请看下图:

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