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完美世界追随者 · 2022年03月06日

在EWMA模型中，长期平均方差的权重不是r吗？为什么说权重为0？

  1. FRM I
  2. Quantitative

NO.PZ2016062402000052

问题如下：

Which of the following four statements on models for estimating volatility is incorrect ?

选项：

A.

In the EWMA model, some positive weight is assigned to the long-run average variance rate.

B.

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 α1+β\alpha_1+\beta sum to 1, the EWMA model has undefined long-run average variance. In both models weights decline exponentially with time.

在EWMA模型中，长期平均方差的权重不是r吗？为什么说权重为0？

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1 个答案

品职答疑小助手雍 · 2022年03月07日

同学你好，EWMA里长期波动权重是0，它只有上期variance和上一期的μ两个参数。GARCH才有长期平均variance这个参数。

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看了其他提问，仍然不懂，求详细解析该题目，谢谢！

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