NO.PZ2023091601000080
问题如下：
In
the EWMA model, the half-life is defined as the time, T, at which λT
= 1/2, where λ is the decay factor of the EWMA model. A risk analyst is using a
specific EWMA model to calculate volatility and determines that the half-life
of the model is 23 days. Based on the above information, which weight will be
applied to the return that is five days old?
选项：
A.
0.026
B.
0.031
C.
0.781
D.
0.859
解释：
5天前，就按照第五天的权重？以为是23天的5天前第18天。
