题目
We assume a lambda parameter of 0.850 under an exponential smoothing (i.e., EWMA) approach to the estimation of today's (t) daily volatility. Yesterday (t-1) is the most recent daily return in our series. What are the weights assigned, respectively, to yesterday's and the day before yesterday's returns; i.e., weight (t-1) and weight (t-2)?
选项
A.15.00% (t-1) and 2.25% (t-2)
B.15.00% and 12.75%
C.72.25% and 61.41%
D.85.00% and 72.25%
答案
B
解析
The most recent weight is the highest at (1-lambda); in this case, 1 - 85% = 15%.As successive weights have a constant proportion of lambda, the (t-2) weight = (1- lambda)×lambda; in this case, (1-85%)×85% = 12.75%最近的权重最高，为（1-λ）； 在这种情况下，1 - 85% = 15%。由于连续的权重具有恒定的λ比例，因此（t-2）权重= (1- λ)×λ；(1－85%)×85% = 12.75%