公式疑问

问题如下：

The long-term mean of the correlation data is 35%. In January 2014, the averaged correlation of the 30 × 30 Dow correlation matrices was 27%.From the regression function from 1972 to 2012, the average mean reversion was 77.5%. Using the simple s(t) - s(t-1) = alpha × [μ - s(t - 1)] model, what is the expected correlation for February 2014?

选项：

A.

27.75%

B.

28.80%

C.

33.20%

D.

37.50%

解释：

C is correct.

考点$：$Some Correlation Basics

解析$：$33.20% = 27.0% + 77.5% × (35.0% - 27.0%)