NO.PZ2023091601000079
问题如下：
Which of the following statements about the exponentially
weighted moving average (EWMA) model and the generalized autoregressive
conditional heteroskedasticity(GARCH(1,1)) model is correct?
选项：
A.
The EWMA model is a special case of the GARCH(1,1) model
with the additional assumption that the long-run volatility is zero.
B.
A variance
estimate from the EWMA model is always between the prior day’s estimated
variance and the prior day’s squared return.
C.
The GARCH(1,1) model always assigns less weight to the
prior day’s estimated variance than the EWMA model.
D.
A variance estimate from the
GARCH(1,1) model is always between the prior day’s estimated variance and the
prior day’s squared return.
解释：
The EWMA estimate of
variance is a weighted average of the prior day’s variance and prior day
squared return.
老师，能否翻译一下BCD？不太理解B是什么意思，CD为什么不对，能举例说明吗？
