题目
Roger collects a set of 61 daily returns over a calendar quarter for the stock of XYZ corporation. He computes the sample's daily standard deviation, which is annualized in order to generate a sample volatility of 27.0%. His null hypothesis is that the true volatility is 30.0%. Can he reject the null with 95% confidence?
选项
A.No, the test statistic is 1.59
B.No, the test statistic is 48.60
C.Yes, the test statistic is 24.03
D.Yes, the test statistic is 72.57
答案
B
解析
The chi-square test statistic「huixue_img/importSubject/1564169386909110272.png」. This is within the two-sided chi-square lookup values, at 95% confidence and with 60 degrees of freedom, of ~40.5 (at 2.5%) and ~83.3 (at 97.5%; or right-sided at 2.5%), such that we fail to reject; i.e., the population variance might be「huixue_img/importSubject/1564169386946859008.png」.