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NO.PZ201709270100000407

问题如下：

7.Based on the mean-reverting level implied by the AR(1) model regression output in Exhibit 1, the forecasted oil price for September 2015 is most likely to be:

选项：

less than $42.86.

equal to $42.86.

greater than $42.86.

解释：

C is correct. The mean-reverting level from the AR(1) model is calculated as

${\overset\wedge X}_t=\frac{b_0}{1-b_1}=\frac{1.5948}{1-0.9767}=\$68.45$

Therefore, the mean-reverting WTI oil price from the AR(1) model is $68.45. The forecasted oil price in September 2015 will likely be greater than $42.86 because the model predicts that the price will rise in the next period from the August 2015 price of $42.86.

如果68.45是mean reveting吗，Xt 不是和mean相比？

我有点糊涂，条件里的42.XX和这个mean reverting关系,

如果Xt>mean reverting ,Xt+1

预测2015年9月份我用的182带入AR1，我拿AR1的值和42比的，感觉自己不是很理解这个XT和XThat

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1 个答案

星星_品职助教 · 2022年01月12日

同学你好，

问题比较混乱，不确定想表达什么，此后提问请具体描述清楚问题到底是什么。

本题的解题思路为：

1）计算出mean reverting level为68.45；

2）题目为根据这个mean reverting level，预测9月份的价格应该如何变动；由于8月份的价格为已知的42.86，低于了mean reverting level，所以“.Based on the mean-reverting level ”，下个月即9月份的价格就应该往mean reverting level方向走，也就是上升。

按照以上思路进行解题即可。

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NO.PZ201709270100000407 问题如下 7.Baseon the mean-reverting level impliethe AR(1) mol regression output in Exhibit 1, the forecasteoil prifor September 2015 is most likely to be: less th$42.86. equto $42.86. greater th$42.86. C is correct. The mean-reverting level from the AR(1) mol is calculateasX∧t=b01−b1=1.59481−0.9767=$68.45{\overset\wee X}_t=\frac{b_0}{1-b_1}=\frac{1.5948}{1-0.9767}=\$68.45X∧t=1−b1b0=1−0.97671.5948=$68.45Therefore, the mean-reverting WTI oil prifrom the AR(1) mol is $68.45. The forecasteoil priin September 2015 will likely greater th$42.86 because the mol prects ththe priwill rise in the next periofrom the August 2015 priof $42.86. 这道题可以用题目中给的AR1的公式，去计算2015年9月的数值吗？然后计算出来比42.86大。

2022-10-05 18:13 1 · 回答

NO.PZ201709270100000407 equto $42.86. greater th$42.86. C is correct. The mean-reverting level from the AR(1) mol is calculateX∧t=b01−b1=1.59481−0.9767=$68.45{\overset\wee X}_t=\frac{b_0}{1-b_1}=\frac{1.5948}{1-0.9767}=\$68.45X∧t=1−b1b0=1−0.97671.5948=$68.45 Therefore, the mean-reverting WTI oil prifrom the AR(1) mol is $68.45. The forecasteoil priin September 2015 will likely greater th$42.86 because the mol prects ththe priwill rise in the next periofrom the August 2015 priof $42.86. AR(1)其实有个b1是not significant fferent from1的情况，但是针对这道题就不用考虑这些对吗？

2021-02-28 18:04 1 · 回答

7.Baseon the mean-reverting level impliethe AR(1) mol regression output in Exhibit 1, the forecasteoil prifor September 2015 is most likely to be: less th$42.86. equto $42.86. greater th$42.86. C is correct. The mean-reverting level from the AR(1) mol is calculateX∧t=b01−b1=1.59481−0.9767=$68.45{\overset\wee X}_t=\frac{b_0}{1-b_1}=\frac{1.5948}{1-0.9767}=\$68.45X∧t=1−b1b0=1−0.97671.5948=$68.45 Therefore, the mean-reverting WTI oil prifrom the AR(1) mol is $68.45. The forecasteoil priin September 2015 will likely greater th$42.86 because the mol prects ththe priwill rise in the next periofrom the August 2015 priof $42.86. AR(1)是否表示9月？前面有个小问说AR(2)才是9月，解题和这有关吗

2020-12-04 17:48 1 · 回答

7.Baseon the mean-reverting level impliethe AR(1) mol regression output in Exhibit 1, the forecasteoil prifor September 2015 is most likely to be: less th$42.86. equto $42.86. greater th$42.86. C is correct. The mean-reverting level from the AR(1) mol is calculate[#PZMATH1348#] Therefore, the mean-reverting WTI oil prifrom the AR(1) mol is $68.45. The forecasteoil priin September 2015 will likely greater th$42.86 because the mol prects ththe priwill rise in the next periofrom the August 2015 priof $42.86. 公式在哪里？公式在哪里？

2019-11-08 03:01 1 · 回答

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