NO.PZ2018122701000052
问题如下：
Risk analyst uses data from the HS300 index over the past 260 weeks to estimate the long-term average correlation of the common stocks and mean reverting rate. And find the average long-term stock correlation of the HS 300 Index is 22%, and the regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume that in first week of March 2020, the average weekly correlation of all HS300 stocks was 65%. Based on the mean reverting rate in regression analysis, what is the estimated one-week autocorrelation?
选项：
A.21.9%
B.23%.
C.35%
D.45%
解释：
D is correct.
考点：Autocorrelation
解析：单期自相关率+均值回归率=1，所以自相关率只要拿1减去均值回归率，即1-0.55=0.45
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No.PZ2018122701000052 (选择题)
来源: 原版书
Risk analyst uses data from the HS300 index over the past 260 weeks to estimate the long-term average correlation of the common stocks and mean reverting rate. And find the average long-term stock correlation of the HS 300 Index is 22%, and the regression output estimates the following regression relationship: Y = 0.34-0.55X. Assume that in first week of March 2020, the average weekly correlation of all HS300 stocks was 65%. Based on the mean reverting rate in regression analysis, what is the estimated one-week autocorrelation?
老师您好，我有点不明白这个-0.55的含义。在我的理解中，-0.55这个数字本身就代表了自相关系数是-.055。Y代表下一期的相关系数，X代表上一期的相关系数。为什么还需要计算呢。另外，题目告诉了我长期均值，那么0.34/0.22=1.55 = a，自相关系数=1-a = -0.55，这个结果我认为是佐证了上述对于 Y = 0.34-0.55X这个关系式的理解。但是答案不是这样理解的，所以我就有点困惑。希望老师能够帮我解答一下。谢谢！盼复
