年化怎么计算

NO.PZ2019040801000079

问题如下：

Anlyst Pengyu is using a GARCH(1,1) model to estimate daily variance on daily returns(r_t) :

h_t:=α₀ + α₁r²_t-1 + βh_t-1

while α₀ = 0.000003

α₁ = 0.03

β = 0.94

What is the long-run annualized volatility estimate (assuming that volatility increases by the square root of time and 252 trading days in a year ?

选项：

0.015%.

1.00%.

9.27%.

15.87%.

解释：

D is correct.

考点：GARCH(1,1)模型

解析：首先求出γ，GARCH(1,1)中α₁+β+γ=1，所以γ=1-0.03-0.94=0.03.

然后long-run daily variance= α₀ / γ= 0.000003/0.03= 0.0001

那么波动率就是标准差，用方差开方即可：0.01.

最后年化0.01*（252^0.5）=15.87%

可以详细一点嘛。关于年化的计算

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1 个答案

pzqa27 · 2023年11月15日

嗨，努力学习的PZer你好：

年化就是用的根号N法则，详细点的公式也是用daily sigma*根号下N

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