NO.PZ2023091601000078
问题如下：
Which of the
following four statements on models for estimating volatility is INCORRECT?
选项：
A.
In the
exponentially weighted moving average (EWMA) model, some positive weight is
assigned to the long-run average variance.
B.
In the EWMA model,
the weights assigned to observations decrease exponentially as the observations
become older.
C.
In the GARCH (1,1)
model, a positive weight is estimated for the long-run average variance.
D.
In the GARCH (1,1)
model, the weights estimated for observations decrease exponentially as the
observations become older.
解释：
The EWMA model does
not involve the long-run average variance in updating volatility, in other
words, the weight assigned to the long-run average variance is zero. Only the
current estimate of the variance is used. The other statements are all correct.
老师好，D为什么是对的呢？GARCH哪里看出来观察值的权重呈指数减少？
