Which of the following is true when the parameter lambda equals 0.95?
A) The weight given to the most recent observation is 0.95
B) The weight given to the observation one day ago is 95% of the weight given to the observation two days ago
C) The weights given to observations add up to 0.95
D) The weights given to the observation two days ago is 95% of the weight given to the observation one day ago
Correct Answer:
Verified
Q10: What does EWMA stand for?
A) Equally weighted
Q11: At the end of Thursday,the estimated volatility
Q12: At the end of Thursday,the estimated covariance
Q13: The parameters in a GARCH (1,1)model are:
Q14: How many parameters are necessary to define
Q15: If the volatility for a portfolio is
Q16: How many parameters are necessary to define
Q18: Which of the following is a definition
Q19: Which of the following is true
A) Volatilities
Q20: Which of the following is true of
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents