金融风险管理答案2023

第八章测试

1.The volatility of an asset is 2% per day. What is the standard deviation of the percentage price change in five days?（ ）
A:4.47%
B:2.52%
C:3.46%

答案:A
2.The parameters of a GARCH(1,1) model are estimated as ω=0.000004, α=0.05, and β=0.92. What is the long-run average volatility?（ ）
A:1.155%
B:1.562%
C:0.00133%
3.Suppose that the price of an asset at close of trading yesterday was $300 and its volatility was estimated as 1.3% per day. The price at the close of trading today is $298. What is the new daily volatility using the GARCH(1,1) model with ω=0.000002, α=0.04, and β=0.94?（ ）
A:1.165%
B:1.271%
C:1.275%
4.A variance estimate from the GARCH(1,1) model is always between the prior day's estimated variance and the prior day's squared return.（ ）
A:错 B:对 5.GARCH(1,1) is consistent with a mean-reverting variance rate model.（ ）
A:对 B:错