NO.PZ2019040801000066
问题如下：
Analyst Frank estimates the volatilities of two variables by using the GARCH(1,1) model. Now Frank plans to estimate covariance between the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, which models will Frank most likely choose?
选项：
A.GARCH(1,1) model.
B.Geometrically weighted historical volatility model.
C.EWMA model.
D.Weighted historical volatility model.
解释：
A is correct.
考点：Estimating Correlations
解析：想保持一致性，协方差的预估方法就要选择与波动率预估相同的方法。因为这两个变量的波动率使通过GARCH(1,1)模型来预估的，所以应该选择一致的GARCH(1,1)模型。
Analyst Frank estimates the volatilities of two variables by using the GARCH(1,1) model. Now Frank plans to estimate covariance between the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, which models will Frank most likely choose?
您的回答C, 正确答案是: A
A
GARCH(1,1) model.
B
Geometrically weighted historical volatility model.
C
不正确EWMA model.
D
Weighted historical volatility model.
这个题目选garch，我先问一下那题目给出什么条件的时候会选ewma呢
