这道题问的是Volatility而不是variance

NO.PZ2022122601000064 问题如下 The Srisk premium, equto the Sreturn minus the risk-freerate, noteSCIRP, is usethe pennt variable in a two-factorregression in whithe inpennt variables are inx returns minus therisk-free rate for the consumer cret instry (CCIRP) anthetelecommunications instry (TELIRP). The regression results are in Exhibit 2. Althoughvolatility information is available from the Sta ancorresponngly forthe SCIRP, Li’s tewants to termine the statisticrelationship betweenthe SCIRP anboth the CCIRP anthe TELIRP because forecasting the CCIRP anELIRP is muless fficult thforecasting the SCIRP. After somescussion, the tebelieves ththe volatility measure for the SCIRP tabaseon the volatility of CCIRP anTELIRP through the regression shoulbeausteto incorporate a correlation coefficient of 0.25 between the CCIRP anELIRP. Although the two inx risk premiums were uncorrelatein the past anithin the regression, Li’s tebelieves the two technologies will become morecorrelatein the future.Baseon thecorrelation thLi's tebelieves to exist between the CCIRP anTELIRP, thenew volatility for the SCIRP is closest to: A.31.8% B.56.4% C.49.1% CorreAnswer: B Begin with: Var(M) = V(F1)× (b1)2 + V(F2) ×(b2)2 + 2 × × × Cov (F1,F2) +V(ε).Finthe varianceof the error term using values from Exhibit 2:0.2704 = 0.0784 ×(1.020)2+ 0.1024 × (1.045)2 + 2 × 1.020 × 1.045 × 0 +Var(ε),V(ε) = 0.0770.The austment isstatebeing a correlation of 0.25.Change thecorrelation into a covariance: Cov(F1,F2)= Corr(F1,F2) × Stv (F1) × Stv (F2)=0.25 × (0.0784)^0.5 × (0.1024)^0.5 = 0.0224The volatility ofSafter austing for the correlation is0.3181^0.5=56.4% 中文解析V(M) = V(F1)× (b1)2 +V(F2) × (b2)2 + 2 × × × Cov (F1, F2) +V(ε)。使用表2中的值找到误差项的方差:0.2704 = 0.0784××0.1024(1.020)2 +(1.045)2 + 2×1.020×1.045×0 + Var(ε),Var(ε)= 0.0770。调整的相关系数为0.25。将相关性转化为协方差:Cov(F1,F2) = Corr(F1,F2) × Stv (F1) × Stv (F2)= 0.25 × (0.0784)^0.5 × (0.1024)^0.5 = 0.0224经相关系数调整后的上证综指波动率为0.3181^0.5=56.4%

NO.PZ2022122601000064问题如下 The Srisk premium, equto the Sreturn minus the risk-freerate, noteSCIRP, is usethe pennt variable in a two-factorregression in whithe inpennt variables are inx returns minus therisk-free rate for the consumer cret instry (CCIRP) anthetelecommunications instry (TELIRP). The regression results are in Exhibit 2. Althoughvolatility information is available from the Sta ancorresponngly forthe SCIRP, Li’s tewants to termine the statisticrelationship betweenthe SCIRP anboth the CCIRP anthe TELIRP because forecasting the CCIRP anELIRP is muless fficult thforecasting the SCIRP. After somescussion, the tebelieves ththe volatility measure for the SCIRP tabaseon the volatility of CCIRP anTELIRP through the regression shoulbeausteto incorporate a correlation coefficient of 0.25 between the CCIRP anELIRP. Although the two inx risk premiums were uncorrelatein the past anithin the regression, Li’s tebelieves the two technologies will become morecorrelatein the future.Baseon thecorrelation thLi's tebelieves to exist between the CCIRP anTELIRP, thenew volatility for the SCIRP is closest to: A.31.8%B.56.4%C.49.1% CorreAnswer: B Begin with: Var(M) = V(F1)× (b1)2 + V(F2) ×(b2)2 + 2 × × × Cov (F1,F2) +V(ε).Finthe varianceof the error term using values from Exhibit 2:0.2704 = 0.0784 ×(1.020)2+ 0.1024 × (1.045)2 + 2 × 1.020 × 1.045 × 0 +Var(ε),V(ε) = 0.0770.The austment isstatebeing a correlation of 0.25.Change thecorrelation into a covariance: Cov(F1,F2)= Corr(F1,F2) × Stv (F1) × Stv (F2)=0.25 × (0.0784)^0.5 × (0.1024)^0.5 = 0.0224The volatility ofSafter austing for the correlation is0.3181^0.5=56.4% 中文解析V(M) = V(F1)× (b1)2 +V(F2) × (b2)2 + 2 × × × Cov (F1, F2) +V(ε)。使用表2中的值找到误差项的方差:0.2704 = 0.0784××0.1024(1.020)2 +(1.045)2 + 2×1.020×1.045×0 + Var(ε),Var(ε)= 0.0770。调整的相关系数为0.25。将相关性转化为协方差:Cov(F1,F2) = Corr(F1,F2) × Stv (F1) × Stv (F2)= 0.25 × (0.0784)^0.5 × (0.1024)^0.5 = 0.0224经相关系数调整后的上证综指波动率为0.3181^0.5=56.4% 现在只看得懂第一步 后面的计算步骤完全是晕的

NO.PZ2022122601000064 问题如下 The Srisk premium, equto the Sreturn minus the risk-freerate, noteSCIRP, is usethe pennt variable in a two-factorregression in whithe inpennt variables are inx returns minus therisk-free rate for the consumer cret instry (CCIRP) anthetelecommunications instry (TELIRP). The regression results are in Exhibit 2. Althoughvolatility information is available from the Sta ancorresponngly forthe SCIRP, Li’s tewants to termine the statisticrelationship betweenthe SCIRP anboth the CCIRP anthe TELIRP because forecasting the CCIRP anELIRP is muless fficult thforecasting the SCIRP. After somescussion, the tebelieves ththe volatility measure for the SCIRP tabaseon the volatility of CCIRP anTELIRP through the regression shoulbeausteto incorporate a correlation coefficient of 0.25 between the CCIRP anELIRP. Although the two inx risk premiums were uncorrelatein the past anithin the regression, Li’s tebelieves the two technologies will become morecorrelatein the future.Baseon thecorrelation thLi's tebelieves to exist between the CCIRP anTELIRP, thenew volatility for the SCIRP is closest to: A.31.8% B.56.4% C.49.1% CorreAnswer: B Begin with: Var(M) = V(F1)× (b1)2 + V(F2) ×(b2)2 + 2 × × × Cov (F1,F2) +V(ε).Finthe varianceof the error term using values from Exhibit 2:0.2704 = 0.0784 ×(1.020)2+ 0.1024 × (1.045)2 + 2 × 1.020 × 1.045 × 0 +Var(ε),V(ε) = 0.0770.The austment isstatebeing a correlation of 0.25.Change thecorrelation into a covariance: Cov(F1,F2)= Corr(F1,F2) × Stv (F1) × Stv (F2)=0.25 × (0.0784)^0.5 × (0.1024)^0.5 = 0.0224The volatility ofSafter austing for the correlation is0.3181^0.5=56.4% 中文解析V(M) = V(F1)× (b1)2 +V(F2) × (b2)2 + 2 × × × Cov (F1, F2) +V(ε)。使用表2中的值找到误差项的方差:0.2704 = 0.0784××0.1024(1.020)2 +(1.045)2 + 2×1.020×1.045×0 + Var(ε),Var(ε)= 0.0770。调整的相关系数为0.25。将相关性转化为协方差:Cov(F1,F2) = Corr(F1,F2) × Stv (F1) × Stv (F2)= 0.25 × (0.0784)^0.5 × (0.1024)^0.5 = 0.0224经相关系数调整后的上证综指波动率为0.3181^0.5=56.4% 请老师提供一下，这道题考查的知识点和基础班讲义的位置~谢谢

NO.PZ2022122601000064问题如下 The Srisk premium, equto the Sreturn minus the risk-freerate, noteSCIRP, is usethe pennt variable in a two-factorregression in whithe inpennt variables are inx returns minus therisk-free rate for the consumer cret instry (CCIRP) anthetelecommunications instry (TELIRP). The regression results are in Exhibit 2. Althoughvolatility information is available from the Sta ancorresponngly forthe SCIRP, Li’s tewants to termine the statisticrelationship betweenthe SCIRP anboth the CCIRP anthe TELIRP because forecasting the CCIRP anELIRP is muless fficult thforecasting the SCIRP. After somescussion, the tebelieves ththe volatility measure for the SCIRP tabaseon the volatility of CCIRP anTELIRP through the regression shoulbeausteto incorporate a correlation coefficient of 0.25 between the CCIRP anELIRP. Although the two inx risk premiums were uncorrelatein the past anithin the regression, Li’s tebelieves the two technologies will become morecorrelatein the future.Baseon thecorrelation thLi's tebelieves to exist between the CCIRP anTELIRP, thenew volatility for the SCIRP is closest to: A.31.8%B.56.4%C.49.1% CorreAnswer: B Begin with: Var(M) = V(F1)× (b1)2 + V(F2) ×(b2)2 + 2 × × × Cov (F1,F2) +V(ε).Finthe varianceof the error term using values from Exhibit 2:0.2704 = 0.0784 ×(1.020)2+ 0.1024 × (1.045)2 + 2 × 1.020 × 1.045 × 0 +Var(ε),V(ε) = 0.0770.The austment isstatebeing a correlation of 0.25.Change thecorrelation into a covariance: Cov(F1,F2)= Corr(F1,F2) × Stv (F1) × Stv (F2)=0.25 × (0.0784)^0.5 × (0.1024)^0.5 = 0.0224The volatility ofSafter austing for the correlation is0.3181^0.5=56.4% 中文解析V(M) = V(F1)× (b1)2 +V(F2) × (b2)2 + 2 × × × Cov (F1, F2) +V(ε)。使用表2中的值找到误差项的方差:0.2704 = 0.0784××0.1024(1.020)2 +(1.045)2 + 2×1.020×1.045×0 + Var(ε),Var(ε)= 0.0770。调整的相关系数为0.25。将相关性转化为协方差:Cov(F1,F2) = Corr(F1,F2) × Stv (F1) × Stv (F2)= 0.25 × (0.0784)^0.5 × (0.1024)^0.5 = 0.0224经相关系数调整后的上证综指波动率为0.3181^0.5=56.4% Volatility分不清是指方差，还是标准差