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养猪能手 · 2022年06月17日

能不能展示一下计算过程谢谢老师

NO.PZ2020021205000026

问题如下:

Monthly stock prices are as follows in USD: 35, 38, 41, 37, 33, and 32. Use this data to estimate the volatility per year.

解释:

The calculations are in the following table. In this case, the average value of the u; is -0.01792 and i=15ui2\sum_{i=1}^5ui^2= 0.03711 and the standard deviation of the u; is 14(0.03711    5  X  0.017922)\sqrt{\frac14(0.03711\;-\;5\;X\;0.01792^2)}= 0.0942

so that the volatility is 0.094212\sqrt{12} = 0.326 or 32.6%.

算出来的波动率不是这个数

1 个答案
已采纳答案

品职答疑小助手雍 · 2022年06月17日

同学你好,如下图:第一列是价格;

第二列对应题目解析图里的最后一列,最底下是最后一列的均值;

第三列是第二列减去均值-0.017922得到的结果;

第四列前五个数字是第三列数字的平方,第六个数字是上面五个数字的求和;

第七个数字是第六个数字除以5

第八个数字是第七个数字的开方;

第九个数字是月度标准差,与解析一致。

以上是按照标准差基本定义的计算步骤。

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NO.PZ2020021205000026 问题如下 Monthly stoprices are follows in US 35, 38, 41, 37, 33, an32. Use this ta to estimate the volatility per year.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #454046}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #464045}span.s1 {color: #6b5147}span.s2 {color: #4b5a6e}span.s3 {color: #303c63} The calculations are in the following table. In this case, the average value of the u; is -0.01792 an∑i=15ui2\sum_{i=1}^5ui^2∑i=15​ui2= 0.03711 anthe stanrviation of the u; is 14(0.03711  −  5  X  0.017922)\sqrt{\frac14(0.03711\;-\;5\;X\;0.01792^2)}41​(0.03711−5X0.017922)​= 0.0942 so ththe volatility is 0.094212\sqrt{12}12​ = 0.326 or 32.6%.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #453f46}span.s1 {color: #777777}span.s2 {color: #466b}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474047}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #4b434b}span.s1 {color: #303b5f}span.s2 {color: #4b586c}span.s3 {color: #6b5347}span.s4 {color: #303c63}span.s5 {font: 5.0px Helvetica}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474348}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #4135}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #473f46}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #453f47}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464550}p.p6 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #454048}p.p7 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #45434b}p.p8 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #524c4e}p.p9 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464750}p.p10 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #454047}span.s1 {color: #777777}span.s2 {color: #635e60}span.s3 {color: #4b5a6e}span.s4 {font: 5.0px Helveticcolor: #635e60}span.s5 {font: 5.0px Helvetica}span.s6 {color: #636b73}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464045}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #453e42}span.s1 {color: #4b5a6e}span.s2 {color: #6b5547}span.s3 {color: #303b5f}span.s4 {color: #5f544f}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #433e44}span.s1 {color: #757575}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #454048}span.s1 {color: #6b5147}span.s2 {color: #303b5f}span.s3 {color: #466b}span.s4 {color: #777373} 题目中给的条件是股价stoprice的样本,讲解答案显示先计算Ln(si/si-1)的均值,这是收益率均值,依据收益率均值计算的是收益率的the volatility per year,不是股价的the volatility per year。是这样的吗?看题目表述,感觉是求股价的波动,不是吗?遇到这类题目,在怎么区分是求股价的波动,还是求收益率的波动呢?谢谢老师

2024-03-25 01:42 2 · 回答

NO.PZ2020021205000026问题如下 Monthly stoprices are follows in US 35, 38, 41, 37, 33, an32. Use this ta to estimate the volatility per year.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #454046}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #464045}span.s1 {color: #6b5147}span.s2 {color: #4b5a6e}span.s3 {color: #303c63}The calculations are in the following table. In this case, the average value of the u; is -0.01792 an∑i=15ui2\sum_{i=1}^5ui^2∑i=15​ui2= 0.03711 anthe stanrviation of the u; is 14(0.03711  −  5  X  0.017922)\sqrt{\frac14(0.03711\;-\;5\;X\;0.01792^2)}41​(0.03711−5X0.017922)​= 0.0942 so ththe volatility is 0.094212\sqrt{12}12​ = 0.326 or 32.6%.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #453f46}span.s1 {color: #777777}span.s2 {color: #466b}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474047}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #4b434b}span.s1 {color: #303b5f}span.s2 {color: #4b586c}span.s3 {color: #6b5347}span.s4 {color: #303c63}span.s5 {font: 5.0px Helvetica}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474348}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #4135}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #473f46}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #453f47}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464550}p.p6 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #454048}p.p7 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #45434b}p.p8 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #524c4e}p.p9 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464750}p.p10 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #454047}span.s1 {color: #777777}span.s2 {color: #635e60}span.s3 {color: #4b5a6e}span.s4 {font: 5.0px Helveticcolor: #635e60}span.s5 {font: 5.0px Helvetica}span.s6 {color: #636b73}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464045}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #453e42}span.s1 {color: #4b5a6e}span.s2 {color: #6b5547}span.s3 {color: #303b5f}span.s4 {color: #5f544f}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #433e44}span.s1 {color: #757575}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #454048}span.s1 {color: #6b5147}span.s2 {color: #303b5f}span.s3 {color: #466b}span.s4 {color: #777373}​同学您好,样本方差是 [ (各个X的平方和) - (均值的平方*n) ] / (n-1)老师看到您给其他同学回复的有上面那个公式,我想问一下这个公式是在哪个位置讲的,因为没有印象有这个公式,谢谢老师!

2024-02-29 20:59 3 · 回答

NO.PZ2020021205000026 问题如下 Monthly stoprices are follows in US 35, 38, 41, 37, 33, an32. Use this ta to estimate the volatility per year.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #454046}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.0px Helveticcolor: #464045}span.s1 {color: #6b5147}span.s2 {color: #4b5a6e}span.s3 {color: #303c63} The calculations are in the following table. In this case, the average value of the u; is -0.01792 an∑i=15ui2\sum_{i=1}^5ui^2∑i=15​ui2= 0.03711 anthe stanrviation of the u; is 14(0.03711  −  5  X  0.017922)\sqrt{\frac14(0.03711\;-\;5\;X\;0.01792^2)}41​(0.03711−5X0.017922)​= 0.0942 so ththe volatility is 0.094212\sqrt{12}12​ = 0.326 or 32.6%.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #453f46}span.s1 {color: #777777}span.s2 {color: #466b}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474047}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #4b434b}span.s1 {color: #303b5f}span.s2 {color: #4b586c}span.s3 {color: #6b5347}span.s4 {color: #303c63}span.s5 {font: 5.0px Helvetica}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #474348}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #4135}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #473f46}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #453f47}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464550}p.p6 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #454048}p.p7 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #45434b}p.p8 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #524c4e}p.p9 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464750}p.p10 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #454047}span.s1 {color: #777777}span.s2 {color: #635e60}span.s3 {color: #4b5a6e}span.s4 {font: 5.0px Helveticcolor: #635e60}span.s5 {font: 5.0px Helvetica}span.s6 {color: #636b73}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #464045}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #453e42}span.s1 {color: #4b5a6e}span.s2 {color: #6b5547}span.s3 {color: #303b5f}span.s4 {color: #5f544f}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #433e44}span.s1 {color: #757575}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.0px Helveticcolor: #454048}span.s1 {color: #6b5147}span.s2 {color: #303b5f}span.s3 {color: #466b}span.s4 {color: #777373} 为什么取对数就是它的均值呢?

2023-10-05 18:02 1 · 回答

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2023-06-11 21:41 1 · 回答

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2023-03-02 15:02 1 · 回答