开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

magico · 2019年10月29日

问一道题:NO.PZ2019040801000066

问题如下:

Analyst Frank estimates the volatilities of two variables by using the GARCH(1,1) model. Now Frank plans to estimate covariance between the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, which models will Frank most likely choose?

选项:

A.

GARCH(1,1) model.

B.

Geometrically weighted historical volatility model.

C.

EWMA model.

D.

Weighted historical volatility model.

解释:

A is correct.

考点:Estimating Correlations

解析:想保持一致性,协方差的预估方法就要选择与波动率预估相同的方法。因为这两个变量的波动率使通过GARCH(1,1)模型来预估的,所以应该选择一致的GARCH(1,1)模型。

是否能解释一下其他几个选项,适用的场景

1 个答案

品职答疑小助手雍 · 2019年10月30日

同学你好,BD是对数据根据波动性进行调整的方法,C和garch类似可以用来做预测波动性和相关性。

  • 1

    回答
  • 0

    关注
  • 446

    浏览
相关问题

NO.PZ2019040801000066 问题如下 Analyst Frank estimates the volatilities of two variables using the GARCH(1,1) mol. Now Frank plans to estimate covarianbetween the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, whimols will Frank most likely choose? A.GARCH(1,1) mol. B.Geometrically weightehistoricvolatility mol. C.EWMA mol. Weightehistoricvolatility mol. A is correct.考点Estimating Correlations解析想保持一致性,协方差的预估方法就要选择与波动率预估相同的方法。因为这两个变量的波动率使通过GARCH(1,1)模型来预估的,所以应该选择一致的GARCH(1,1)模型。 Analyst Frank estimates the volatilities of two variables using the GARCH(1,1) mol. Now Frank plans to estimate covarianbetween the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, whimols will Frank most likely choose?您的回答正确答案是: AAGARCH(1,1) mol.BGeometrically weightehistoricvolatility mol.C不正确EWMA mol.eightehistoricvolatility mol.这个题目选garch,我先问一下那题目给出什么条件的时候会选ewma呢

2024-03-18 10:12 1 · 回答

NO.PZ2019040801000066问题如下Analyst Frank estimates the volatilities of two variables using the GARCH(1,1) mol. Now Frank plans to estimate covarianbetween the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, whimols will Frank most likely choose?A.GARCH(1,1) mol.B.Geometrically weightehistoricvolatility mol.C.EWMA mol.Weightehistoricvolatility mol.A is correct.考点Estimating Correlations解析想保持一致性,协方差的预估方法就要选择与波动率预估相同的方法。因为这两个变量的波动率使通过GARCH(1,1)模型来预估的,所以应该选择一致的GARCH(1,1)模型。请问预估协方差在讲义何处

2023-01-31 23:13 1 · 回答

NO.PZ2019040801000066 问题如下 Analyst Frank estimates the volatilities of two variables using the GARCH(1,1) mol. Now Frank plans to estimate covarianbetween the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, whimols will Frank most likely choose? A.GARCH(1,1) mol. B.Geometrically weightehistoricvolatility mol. C.EWMA mol. Weightehistoricvolatility mol. A is correct.考点Estimating Correlations解析想保持一致性,协方差的预估方法就要选择与波动率预估相同的方法。因为这两个变量的波动率使通过GARCH(1,1)模型来预估的,所以应该选择一致的GARCH(1,1)模型。 知道forecaste volatility怎么预测,variance预测也要用类似的办法去推公式吗

2023-01-28 14:34 1 · 回答

NO.PZ2019040801000066 问题如下 Analyst Frank estimates the volatilities of two variables using the GARCH(1,1) mol. Now Frank plans to estimate covarianbetween the 2 variables. If Frank wants to generate a consistent correlation estimate between the 2 variables, whimols will Frank most likely choose? A.GARCH(1,1) mol. B.Geometrically weightehistoricvolatility mol. C.EWMA mol. Weightehistoricvolatility mol. A is correct.考点Estimating Correlations解析想保持一致性,协方差的预估方法就要选择与波动率预估相同的方法。因为这两个变量的波动率使通过GARCH(1,1)模型来预估的,所以应该选择一致的GARCH(1,1)模型。 在课件哪里出现?

2023-01-27 09:05 1 · 回答

是怎么预估COV的?

2020-03-02 21:52 1 · 回答