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为啥是252开根号???
NO.PZ2016062402000047问题如下A risk manager estimates ily varianhth_tht using a GARmol on ily return rt:ht=α0 +α1rt−12+βht−1, with α0=0.005,α1 =0.04,β=0.94r_t:h_t=\alpha_0\;+\alpha_1r_{t-1}^2+\beta h_{t-1},\;with\;\alpha_0=0.005,\alpha_1\;=0.04,\beta=0.94rt:ht=α0+α1rt−12+βht−1,withα0=0.005,α1=0.04,β=0.94.The long-run annualizevolatility is approximately 13.54% 7.94% 72.72% 25.00% The long-run mevarianis h=α01−α1−β=0.0051−0.04−0.94=0.25h=\frac{\alpha_0}{1-\alpha_1-\beta}=\frac{0.005}{1-0.04-0.94}=0.25h=1−α1−βα0=1−0.04−0.940.005=0.25. Taking the square root, this gives 0.5 for ily volatility. Multiplying 252\sqrt{252}252, we have annualizevolatility of 7.937%.老师,我不理解为什么算出来的VL=025,也要开根号
NO.PZ2016062402000047 7.94% 72.72% 25.00% The long-run mevarianis h=α01−α1−β=0.0051−0.04−0.94=0.25h=\frac{\alpha_0}{1-\alpha_1-\beta}=\frac{0.005}{1-0.04-0.94}=0.25h=1−α1−βα0=1−0.04−0.940.005=0.25. Taking the square root, this gives 0.5 for ily volatility. Multiplying 252\sqrt{252}252 , we have annualizevolatility of 7.937%.求出来是ily,但是我不理解为什么✖️更号下252。为什么加更号
7.94% 72.72% 25.00% The long-run mevarianis h=α01−α1−β=0.0051−0.04−0.94=0.25h=\frac{\alpha_0}{1-\alpha_1-\beta}=\frac{0.005}{1-0.04-0.94}=0.25h=1−α1−βα0=1−0.04−0.940.005=0.25. Taking the square root, this gives 0.5 for ily volatility. Multiplying 252\sqrt{252}252 , we have annualizevolatility of 7.937%.老师可以讲下这个题目和知识点吗
7.94% 72.72% 25.00% The long-run mevarianis h=α01−α1−β=0.0051−0.04−0.94=0.25h=\frac{\alpha_0}{1-\alpha_1-\beta}=\frac{0.005}{1-0.04-0.94}=0.25h=1−α1−βα0=1−0.04−0.940.005=0.25. Taking the square root, this gives 0.5 for ily volatility. Multiplying 252\sqrt{252}252 , we have annualizevolatility of 7.937%.想问一下这里的单位问题,0.5乘以根号下252确实等于7.93,但是为什么就变成了7.93%呢?那个百分号如何得到的
计算时,为啥r t-1和ht-1都变为1了?