NO.PZ2023091601000073
问题如下：
Suppose that the current daily
volatilities of asset X and asset Y are 1.0% and 1.2%, respectively. The prices
of the assets at close of trading yesterday were $30 and $50 and the estimate
of the coefficient of correlation between the returns on the two assets made at
this time was 0.50. Correlations and volatilities are updated using a GARCH (1,
1) model. The estimates of the model's parameters are α = 0.04 and β = 0.94.
For the correlation ω = 0.000001, and for the volatilities ω = 0.000003. If the
prices of the two assets at close of trading today are $31 and $51, how is the
correlation estimate updated?
选项：
A.0.539
0.549
0.559
0.569
解释：
The estimated
covariance of n-1 is:
The covariance of n i:
The asset X’s variance of n is:
因此，
The asset Y’s variance of n is:
So, 
The correlation is: 0.0000841 / (0.01189 × 0.01242)
= 0.569
