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Consider the following EWMA models that are used to estimate daily return volatility. Which model’s volatility estimates will have the most day-to-day volatility, and which model will be the slowest to respond to new data, respectively?
Model 1: σn2 = 0.04μn − 12 + 0.96σn − 12 Model 2: σn2 = 0.02μn − 12 + 0.98σn − 12 Model 3: σn2 = 0.20μn − 12 + 0.80σn − 12 Model 4: σn2 = 0.10μn − 12 + 0.90σn − 12
A.
B.
C.
D.
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