难题求助（RiskMetrics model）

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Are foreign exchange volatilities (standard deviations) constant over time?Assume RiskMetrics' model with 0.97 and 0.03 weights on the previous month's variance and squared spot rate change, respectively. Calculate conditional standard deviations for the yen/dollar fx rate over the sample period using the unconditional variance of each series as the Dec 1985 starting point. Plot the conditional stdevs as a function of time on a graph.

告诉了美元和日元每个月的spot和Frwd exchange rate yen/dollar，每个月两种货币的利率和通货膨胀率。

Rishmetric model 网上搜索好多种呀，这里到底用啥？

急求高手指点呀。谢谢先。

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：RiskMetrics metrics Metric model RICS 难题 model RiskMetrics

以下是引用flowermusic在2007-9-10 3:14:00的发言：

Are foreign exchange volatilities (standard deviations) constant over time?

Obviously no.

Assume RiskMetrics' model with 0.97 and 0.03 weights on the previous month's variance and squared spot rate change, respectively. Calculate conditional standard deviations for the yen/dollar fx rate over the sample period using the unconditional variance of each series as the Dec 1985 starting point. Plot the conditional stdevs as a function of time on a graph.

告诉了美元和日元每个月的spot和Frwd exchange rate yen/dollar，每个月两种货币的利率和通货膨胀率。

Rishmetric model 网上搜索好多种呀，这里到底用啥？

RiskMetrics uses EWMA, exponentially weighted moving average.

谢谢牛人呀。