A选项感觉没有问题

问题如下：

A junior risk analyst is modeling the volatility of a certain market variable and is trying to decide between EWMA and GARCH(1,1) models. Which of the following statements about the two models 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 estimated from the GARCH(1,1) model is a weighted average of the prior day’s estimated variance and the prior day’s squared return.

C.

The GARCH(1,1) model assigns a higher weight to the prior day’s estimated variance than the EWMA model.

D.

A variance estimated from the EWMA model is a weighted average of the prior day’s estimated variance and the prior day’s squared return.

解释：

中文解析：

EWMA 方差估计是前一天的方差和前一天的平方收益的加权平均值。

选D

The EWMA estimate of variance is a weighted average of the prior day’s variance and prior day’s squared return.

A is incorrect. EWMA is a particular case of GARCH(1,1) with the weight assigned to the long-run average variance rate as zero and the sum of the weights of the other two parameters equal to 1.

B is incorrect because there is also weight assigned to the long-run average variance rate.

C is incorrect because such a comparison can only be done under specific parameter configurations.