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。。 · 2025年06月18日

为什么是iid呢

NO.PZ2024030507000015

问题如下:

A risk manager is calculating the VaR of a fund with a data set of 50 weekly returns. The mean weekly return estimated from the sample is 8% with a standard deviation of 17%. Assuming that weekly returns are independent and identically distributed, what is the standard deviation of the mean weekly return?

选项:

A.

0.4%

B.

0.7%

C.

2.4%

D.

10.0%

解释:

Explanation C is correct. In order to calculate the standard deviation of the mean weekly returns, we must divide the standard deviation of the return series by the square root of the sample size. Therefore, the correct answer is 17% / sqrt(50) = 2.4%.

Section Quantitative Analysis
Learning Objective Estimate the mean, variance, and standard deviation using sample data.
Reference Global Association of Risk Professionals. Quantitative Analysis. New York, NY: Pearson, 2022. Chapter 5. Sample Moments.

是不是所有的计算标准误的题前提条件都是iid呢

1 个答案

李坏_品职助教 · 2025年06月18日

嗨,努力学习的PZer你好:


对,在iid的前提下,我们可以简单的用标准差σ / 根号n这样去计算标准误。


若数据不满足iid,需调整标准误计算:

对于自相关数据​:使用Newey-West修正方法来计算。

对于​异方差数据​(方差随时间变化):采用GARCH模型等方法。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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