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中二 · 2020年07月12日

问一道题:NO.PZ2016070201000038 [ FRM II ]

问题如下:

A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to estimate the long-run mean correlation of common stocks and the mean reversion rate. Based on historical data, the long-run mean correlation of Dow stocks was 32%, and the regression output estimates the following regression relationship: Y = 0.24 - 0.75X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 36%. What is the expected correlation for May 2014 assuming the mean reversion rate estimated in the regression analysis?

选项:

A.

32%.

B.

33%.

C.

35%.

D.

37%

解释:

There is a-4% difference from the long-run mean correlation and April 2014 correlation (32% - 36% = -4%). The inverse of the P coefficient in the regression relationship implies a mean reversion rate of75%. Thus, the expected correlation for May 2014 is 33.0%:

lSt=a(μSt1)+St1St=0.75(32%36%)+0.36=0.33{l}S_t=a{(\mu-S_{t-1})}+S_{t-1}\\S_t=0.75{(32\%-36\%)}+0.36=0.33

想问一下这里的Y=0.24-0.75x这个公式的具体含义,怎么判断出0.75就是均值复归的速度的呢?

1 个答案

袁园_品职助教 · 2020年07月14日

同学你好!

可以参考原版书的解释,还是蛮清楚的。