updated volatility estimate公式

NO.PZ2019040801000078

问题如下：

Bridgewood uses an exponentially weighted moving average model (EWMA) to model the daily volatility of a stock. The decay factor is 0.85. The current estimate of daily volatility 2.5%. The stock closed at $35 yesterday and today's closing price is $33. Assume that we use continuously compounded returns. What is the updated estimate of volatility?

选项：

5.429%.

3.241%.

3.009%.

2.739%.

解释：

B is correct.

考点：Estimating Volatilities

解析：使用EWMA模型，Updated volatility estimate = [λ*(volatility_(t-1))^2 + (1-λ)*(current return)^2]^0.5

由题目条件，λ=0.85。而 Current return = ln(price today / price yesterday) =ln(33/35) = -5.884%

所以 Updated volatility estimate = [0.85*2.5%^2+0.15*(-5.884%)^2]^0.5 =3.241%

为什么最后这个公式开0.5的平方？这个公式在讲义哪里？

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品职答疑小助手雍 · 2021年04月07日

嗨，从没放弃的小努力你好：

volatility是标准差，EWMA预估的是方差，这题就是标准的EWMA公式估计方差，最后方差开方求标准差。

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努力的时光都是限量版，加油！

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NO.PZ2019040801000078问题如下Briewoouses exponentially weightemoving average mol (EWMto mol the ily volatility of a stock. The cfactor is 0.85. The current estimate of ily volatility 2.5%. The stoclose$35 yestery antoy's closing priis $33. Assume thwe use continuously compounreturns. Whis the upteestimate of volatility?A.5.429%.B.3.241%.C.3.009%.2.739%.B is correct.考点Estimating Volatilities解析使用EWMA模型，Uptevolatility estimate = [λ*(volatility_(t-1))^2 + (1-λ)*(current return)^2]^0.5由题目条件，λ=0.85。而 Current return = ln(pritoy / priyestery) =ln(33/35) = -5.884%所以 Uptevolatility estimate = [0.85*2.5%^2+0.15*(-5.884%)^2]^0.5 =3.241%current return 能否用33/35-1？一般题目中给什么关键词用ln？

2024-05-21 21:02 1 · 回答

NO.PZ2019040801000078 3.241%. 3.009%. 2.739%. B is correct. 考点Estimating Volatilities 解析使用EWMA模型，Uptevolatility estimate = [λ*(volatility_(t-1))^2 + (1-λ)*(current return)^2]^0.5 由题目条件，λ=0.85。而 Current return = ln(pritoy / priyestery) =ln(33/35) = -5.884% 所以 Uptevolatility estimate = [0.85*2.5%^2+0.15*(-5.884%)^2]^0.5 =3.241% 我计算的In（33/35）=3.555. 不知道是不是我的错

2022-02-04 10:22 1 · 回答

3.241%. 3.009%. 2.739%. B is correct. 考点Estimating Volatilities 解析使用EWMA模型，Uptevolatility estimate = [λ*(volatility_(t-1))^2 + (1-λ)*(current return)^2]^0.5 由题目条件，λ=0.85。而 Current return = ln(pritoy / priyestery) =ln(33/35) = -5.884% 所以 Uptevolatility estimate = [0.85*2.5%^2+0.15*(-5.884%)^2]^0.5 =3.241%请问这里为什么不用算数回报率而要用ln回报率来计算呢？（股票收益率那部分

2020-11-17 13:11 1 · 回答

updated volatility estimate公式

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