Miracle_ · 2022年10月24日
NO.PZ2020011303000084
问题如下：
Suppose that the price of an asset at the close of trading yesterday was USD 20 and its volatility was estimated as 1.4% per day. The price at the close of trading today is USD 19. What is the new volatility estimate using the EWMA with a λ of 0.9?
选项：
解释：
The new return is –1/20 = –0.05. The new variance rate estimate is
0.9 × 0.014^2 + 0.1 × (−0.05)^2 = 0.000426
The new volatility is the square root of this or 2.06%.
σ(n-1)=0.014，μ(n-1)为啥用−0.05？ 我理解−0.05应该是μ(n)
NO.PZ2020011303000084问题如下Suppose ththe priof asset the close of trang yestery wUS20 anits volatility westimate1.4% per y. The prithe close of trang toy is US19. Whis the new volatility estimate using the EWMA with a λ of 0.9? The new return is –1/20 = –0.05. The new varianrate estimate is0.9 × 0.014^2 + 0.1 × (−0.05)^2 = 0.000426The new volatility is the square root of this or 2.06%.题目问昨日收盘价是US0，每日波动率是1.4%，今日收盘价是19，λ=0.9，通过EMWA来计算新的波动率是多少？new return=(19-20)/20=-5%new volatility=(0.9*1.4%^2+0.1*(-5%^2))^0.5=2.06% 收益率可以用ln（19/20）
new return is 1/20，什么意思呢？题目中是不是出错了？
