题目
A financial institution created a model to measure interest rate volatility. The historical distribution of interest rate volatility did not appear to be normally distributed due to the obvious large fat-tails. The firm is contemplating using a regime-switching volatility model to capture the apparent existence of time-varying high and low interest rate volatility. Which of the following statements best characterize the implementation of a regime-switching model for this firm?
选项
A.The interest rate distributions are conditionally normally distributed assuming static interest rate volatility.
B.The assumption of normality is not appropriate in this case, and therefore, a regime-switching model is unlikely to work well.
C.The probability of large deviations from normality occurring are more likely with a regime-switching model.
D.The regime-switching model may resolve the fat-tail problem.
答案
D
解析
The implementation of a regime switching model is appropriate in cases such as this example where there appears to be fat-tails and deviations from normality caused by shifts in volatility to high and low levels. The regime-shifting model may resolve the fat-tail issues, and the return distributions will be conditionally normally distributed assuming time-varying volatility of interest rates.在这种情况下（例如，由于波动率高低波动而导致出现粗尾和偏离正常状态的情况），执行体制转换模型是合适的。 政权转移模型可以解决胖尾问题，假定利率随时间变化，收益率分布将有条件地正态分布。