标题: Reading 53: Term Structure and Volatility of Interest Rates- [打印本页]
作者: 土豆妮 时间: 2010-4-20 15:00 标题: [2010]Session 14-Reading 53: Term Structure and Volatility of Interest Rates-
Session 14: Fixed Income: Valuation Concepts
Reading 53: Term Structure and Volatility of Interest Rates
LOS old_g, (Part 3): Explain how yield volatility is forecasted.
Which of the following is NOT an accepted method for forecasting yield volatility? Using:
|
A) |
the absolute difference between the spot and forward rate. | |
|
B) |
the simple average of recent squared daily yield changes. | |
|
C) |
the standard deviation of recent daily yield changes. | |
To forecast yield volatility, an analyst should compute a recent standard deviation of yield changes. It is acceptable to assume the mean yield change is zero and use the average of recent squared rate changes. This can be a simple average or a weighted average where the more recent squared changes are weighted more heavily.
[此贴子已经被作者于2010-4-20 15:13:20编辑过]
作者: 土豆妮 时间: 2010-4-20 15:00
Yield volatility has been observed to follow patterns over time. One class of statistical techniques used to forecast those patterns is called:
|
A) |
autoregressive heteroskedasticity models. | |
|
B) |
autoregressive capital hedging models. | |
|
C) |
absolute regression chart highlight models. | |
Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.
作者: 土豆妮 时间: 2010-4-20 15:00
Which of the following is the most appropriate model when we assume that volatility today depends only upon recent prior volatility?
|
A) |
A time weighted historical volatility model. | |
|
B) |
An autoregressive conditional heteroskedasticity (ARCH) model. | |
|
C) |
An implied volatility model. | |
ARCH is commonly used with econometric forecasting techniques.
作者: 土豆妮 时间: 2010-4-20 15:01
Suppose that market participants give the most importance to the most recent movements in yield. Which of the following best describes how the historical yield estimate should be adjusted?
|
A) |
Use only the most recent observations. | |
|
B) |
Give increased weight to the most recent observations. | |
|
C) |
Give increased weight to the implied volatility measure. | |
In this way the forecasted volatility reacts faster to a recent major market movement.
作者: 土豆妮 时间: 2010-4-20 15:01
Which of the following is NOT an accepted method for forecasting yield volatility? Using:
|
A) |
the absolute difference between the spot and forward rate. | |
|
B) |
the simple average of recent squared daily yield changes. | |
|
C) |
the standard deviation of recent daily yield changes. | |
To forecast yield volatility, an analyst should compute a recent standard deviation of yield changes. It is acceptable to assume the mean yield change is zero and use the average of recent squared rate changes. This can be a simple average or a weighted average where the more recent squared changes are weighted more heavily.
作者: 土豆妮 时间: 2010-4-20 15:01
Yield volatility has been observed to follow patterns over time. One class of statistical techniques used to forecast those patterns is called:
|
A) |
autoregressive heteroskedasticity models. | |
|
B) |
autoregressive capital hedging models. | |
|
C) |
absolute regression chart highlight models. | |
Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.
作者: 土豆妮 时间: 2010-4-20 15:01
Which of the following is the most appropriate model when we assume that volatility today depends only upon recent prior volatility?
|
A) |
A time weighted historical volatility model. | |
|
B) |
An implied volatility model. | |
|
C) |
An autoregressive conditional heteroskedasticity (ARCH) model. | |
ARCH is commonly used with econometric forecasting techniques.
作者: 土豆妮 时间: 2010-4-20 15:01
Suppose that market participants give the most importance to the most recent movements in yield. Which of the following best describes how the historical yield estimate should be adjusted?
|
A) |
Use only the most recent observations. | |
|
B) |
Give increased weight to the implied volatility measure. | |
|
C) |
Give increased weight to the most recent observations. | |
In this way the forecasted volatility reacts faster to a recent major market movement.
作者: 土豆妮 时间: 2010-4-20 15:02
Which of the following is NOT an accepted method for forecasting yield volatility? Using:
|
A) |
the simple average of recent squared daily yield changes. | |
|
B) |
the standard deviation of recent daily yield changes. | |
|
C) |
the absolute difference between the spot and forward rate. | |
To forecast yield volatility, an analyst should compute a recent standard deviation of yield changes. It is acceptable to assume the mean yield change is zero and use the average of recent squared rate changes. This can be a simple average or a weighted average where the more recent squared changes are weighted more heavily.
作者: 土豆妮 时间: 2010-4-20 15:02
Yield volatility has been observed to follow patterns over time. One class of statistical techniques used to forecast those patterns is called:
|
A) |
autoregressive capital hedging models. | |
|
B) |
absolute regression chart highlight models. | |
|
C) |
autoregressive heteroskedasticity models. | |
Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.
作者: 土豆妮 时间: 2010-4-20 15:02
Which of the following is the most appropriate model when we assume that volatility today depends only upon recent prior volatility?
|
A) |
A time weighted historical volatility model. | |
|
B) |
An implied volatility model. | |
|
C) |
An autoregressive conditional heteroskedasticity (ARCH) model. | |
ARCH is commonly used with econometric forecasting techniques.
作者: 土豆妮 时间: 2010-4-20 15:02
Suppose that market participants give the most importance to the most recent movements in yield. Which of the following best describes how the historical yield estimate should be adjusted?
|
A) |
Give increased weight to the most recent observations. | |
|
B) |
Use only the most recent observations. | |
|
C) |
Give increased weight to the implied volatility measure. | |
In this way the forecasted volatility reacts faster to a recent major market movement.
作者: 土豆妮 时间: 2010-4-20 15:02
Which of the following is NOT an accepted method for forecasting yield volatility? Using:
|
A) |
the simple average of recent squared daily yield changes. | |
|
B) |
the standard deviation of recent daily yield changes. | |
|
C) |
the absolute difference between the spot and forward rate. | |
To forecast yield volatility, an analyst should compute a recent standard deviation of yield changes. It is acceptable to assume the mean yield change is zero and use the average of recent squared rate changes. This can be a simple average or a weighted average where the more recent squared changes are weighted more heavily.
作者: 土豆妮 时间: 2010-4-20 15:03
Yield volatility has been observed to follow patterns over time. One class of statistical techniques used to forecast those patterns is called:
|
A) |
autoregressive capital hedging models. | |
|
B) |
absolute regression chart highlight models. | |
|
C) |
autoregressive heteroskedasticity models. | |
Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.
作者: 土豆妮 时间: 2010-4-20 15:03
Which of the following is the most appropriate model when we assume that volatility today depends only upon recent prior volatility?
|
A) |
A time weighted historical volatility model. | |
|
B) |
An autoregressive conditional heteroskedasticity (ARCH) model. | |
|
C) |
An implied volatility model. | |
ARCH is commonly used with econometric forecasting techniques.
作者: 土豆妮 时间: 2010-4-20 15:03
Suppose that market participants give the most importance to the most recent movements in yield. Which of the following best describes how the historical yield estimate should be adjusted?
|
A) |
Use only the most recent observations. | |
|
B) |
Give increased weight to the most recent observations. | |
|
C) |
Give increased weight to the implied volatility measure. | |
In this way the forecasted volatility reacts faster to a recent major market movement.
作者: 土豆妮 时间: 2010-4-20 15:03
Which of the following is NOT an accepted method for forecasting yield volatility? Using:
|
A) |
the simple average of recent squared daily yield changes. | |
|
B) |
the standard deviation of recent daily yield changes. | |
|
C) |
the absolute difference between the spot and forward rate. | |
To forecast yield volatility, an analyst should compute a recent standard deviation of yield changes. It is acceptable to assume the mean yield change is zero and use the average of recent squared rate changes. This can be a simple average or a weighted average where the more recent squared changes are weighted more heavily.
作者: 土豆妮 时间: 2010-4-20 15:03
Yield volatility has been observed to follow patterns over time. One class of statistical techniques used to forecast those patterns is called:
|
A) |
autoregressive heteroskedasticity models. | |
|
B) |
autoregressive capital hedging models. | |
|
C) |
absolute regression chart highlight models. | |
Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.
作者: 土豆妮 时间: 2010-4-20 15:04
Which of the following is the most appropriate model when we assume that volatility today depends only upon recent prior volatility?
|
A) |
An autoregressive conditional heteroskedasticity (ARCH) model. | |
|
B) |
A time weighted historical volatility model. | |
|
C) |
An implied volatility model. | |
ARCH is commonly used with econometric forecasting techniques.
作者: 土豆妮 时间: 2010-4-20 15:05
Suppose that market participants give the most importance to the most recent movements in yield. Which of the following best describes how the historical yield estimate should be adjusted?
|
A) |
Use only the most recent observations. | |
|
B) |
Give increased weight to the implied volatility measure. | |
|
C) |
Give increased weight to the most recent observations. | |
In this way the forecasted volatility reacts faster to a recent major market movement.
作者: 土豆妮 时间: 2010-4-20 15:05
Which of the following is NOT an accepted method for forecasting yield volatility? Using:
|
A) |
the absolute difference between the spot and forward rate. | |
|
B) |
the simple average of recent squared daily yield changes. | |
|
C) |
the standard deviation of recent daily yield changes. | |
To forecast yield volatility, an analyst should compute a recent standard deviation of yield changes. It is acceptable to assume the mean yield change is zero and use the average of recent squared rate changes. This can be a simple average or a weighted average where the more recent squared changes are weighted more heavily.
作者: 土豆妮 时间: 2010-4-20 15:05
Yield volatility has been observed to follow patterns over time. One class of statistical techniques used to forecast those patterns is called:
|
A) |
autoregressive heteroskedasticity models. | |
|
B) |
autoregressive capital hedging models. | |
|
C) |
absolute regression chart highlight models. | |
Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.
作者: 土豆妮 时间: 2010-4-20 15:05
Which of the following is the most appropriate model when we assume that volatility today depends only upon recent prior volatility?
|
A) |
A time weighted historical volatility model. | |
|
B) |
An implied volatility model. | |
|
C) |
An autoregressive conditional heteroskedasticity (ARCH) model. | |
ARCH is commonly used with econometric forecasting techniques.
作者: 土豆妮 时间: 2010-4-20 15:06
Suppose that market participants give the most importance to the most recent movements in yield. Which of the following best describes how the historical yield estimate should be adjusted?
|
A) |
Use only the most recent observations. | |
|
B) |
Give increased weight to the implied volatility measure. | |
|
C) |
Give increased weight to the most recent observations. | |
In this way the forecasted volatility reacts faster to a recent major market movement.
作者: 土豆妮 时间: 2010-4-20 15:06
Which of the following is NOT an accepted method for forecasting yield volatility? Using:
|
A) |
the absolute difference between the spot and forward rate. | |
|
B) |
the simple average of recent squared daily yield changes. | |
|
C) |
the standard deviation of recent daily yield changes. | |
To forecast yield volatility, an analyst should compute a recent standard deviation of yield changes. It is acceptable to assume the mean yield change is zero and use the average of recent squared rate changes. This can be a simple average or a weighted average where the more recent squared changes are weighted more heavily.
作者: 土豆妮 时间: 2010-4-20 15:06
Yield volatility has been observed to follow patterns over time. One class of statistical techniques used to forecast those patterns is called:
|
A) |
autoregressive heteroskedasticity models. | |
|
B) |
autoregressive capital hedging models. | |
|
C) |
absolute regression chart highlight models. | |
Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.
作者: 土豆妮 时间: 2010-4-20 15:06
Which of the following is the most appropriate model when we assume that volatility today depends only upon recent prior volatility?
|
A) |
An autoregressive conditional heteroskedasticity (ARCH) model. | |
|
B) |
A time weighted historical volatility model. | |
|
C) |
An implied volatility model. | |
ARCH is commonly used with econometric forecasting techniques.
作者: 土豆妮 时间: 2010-4-20 15:06
Suppose that market participants give the most importance to the most recent movements in yield. Which of the following best describes how the historical yield estimate should be adjusted?
|
A) |
Use only the most recent observations. | |
|
B) |
Give increased weight to the implied volatility measure. | |
|
C) |
Give increased weight to the most recent observations. | |
In this way the forecasted volatility reacts faster to a recent major market movement.
作者: 土豆妮 时间: 2010-4-20 15:07
Which of the following is NOT an accepted method for forecasting yield volatility? Using:
|
A) |
the simple average of recent squared daily yield changes. | |
|
B) |
the absolute difference between the spot and forward rate. | |
|
C) |
the standard deviation of recent daily yield changes. | |
To forecast yield volatility, an analyst should compute a recent standard deviation of yield changes. It is acceptable to assume the mean yield change is zero and use the average of recent squared rate changes. This can be a simple average or a weighted average where the more recent squared changes are weighted more heavily.
作者: 土豆妮 时间: 2010-4-20 15:07
Yield volatility has been observed to follow patterns over time. One class of statistical techniques used to forecast those patterns is called:
|
A) |
autoregressive heteroskedasticity models. | |
|
B) |
autoregressive capital hedging models. | |
|
C) |
absolute regression chart highlight models. | |
Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.
作者: 土豆妮 时间: 2010-4-20 15:07
Which of the following is the most appropriate model when we assume that volatility today depends only upon recent prior volatility?
|
A) |
An autoregressive conditional heteroskedasticity (ARCH) model. | |
|
B) |
A time weighted historical volatility model. | |
|
C) |
An implied volatility model. | |
ARCH is commonly used with econometric forecasting techniques.
作者: 土豆妮 时间: 2010-4-20 15:07
Suppose that market participants give the most importance to the most recent movements in yield. Which of the following best describes how the historical yield estimate should be adjusted?
|
A) |
Give increased weight to the most recent observations. | |
|
B) |
Use only the most recent observations. | |
|
C) |
Give increased weight to the implied volatility measure. | |
In this way the forecasted volatility reacts faster to a recent major market movement.
作者: 土豆妮 时间: 2010-4-20 15:07
Which of the following is NOT an accepted method for forecasting yield volatility? Using:
|
A) |
the simple average of recent squared daily yield changes. | |
|
B) |
the absolute difference between the spot and forward rate. | |
|
C) |
the standard deviation of recent daily yield changes. | |
To forecast yield volatility, an analyst should compute a recent standard deviation of yield changes. It is acceptable to assume the mean yield change is zero and use the average of recent squared rate changes. This can be a simple average or a weighted average where the more recent squared changes are weighted more heavily.
作者: 土豆妮 时间: 2010-4-20 15:08
Yield volatility has been observed to follow patterns over time. One class of statistical techniques used to forecast those patterns is called:
|
A) |
autoregressive capital hedging models. | |
|
B) |
absolute regression chart highlight models. | |
|
C) |
autoregressive heteroskedasticity models. | |
Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.
作者: 土豆妮 时间: 2010-4-20 15:08
Which of the following is the most appropriate model when we assume that volatility today depends only upon recent prior volatility?
|
A) |
A time weighted historical volatility model. | |
|
B) |
An implied volatility model. | |
|
C) |
An autoregressive conditional heteroskedasticity (ARCH) model. | |
ARCH is commonly used with econometric forecasting techniques.
作者: 土豆妮 时间: 2010-4-20 15:08
Suppose that market participants give the most importance to the most recent movements in yield. Which of the following best describes how the historical yield estimate should be adjusted?
|
A) |
Use only the most recent observations. | |
|
B) |
Give increased weight to the most recent observations. | |
|
C) |
Give increased weight to the implied volatility measure. | |
In this way the forecasted volatility reacts faster to a recent major market movement.
作者: 土豆妮 时间: 2010-4-20 15:08
Which of the following is NOT an accepted method for forecasting yield volatility? Using:
|
A) |
the simple average of recent squared daily yield changes. | |
|
B) |
the absolute difference between the spot and forward rate. | |
|
C) |
the standard deviation of recent daily yield changes. | |
To forecast yield volatility, an analyst should compute a recent standard deviation of yield changes. It is acceptable to assume the mean yield change is zero and use the average of recent squared rate changes. This can be a simple average or a weighted average where the more recent squared changes are weighted more heavily.
作者: 土豆妮 时间: 2010-4-20 15:09
Yield volatility has been observed to follow patterns over time. One class of statistical techniques used to forecast those patterns is called:
|
A) |
autoregressive capital hedging models. | |
|
B) |
absolute regression chart highlight models. | |
|
C) |
autoregressive heteroskedasticity models. | |
Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.
作者: 土豆妮 时间: 2010-4-20 15:09
Which of the following is the most appropriate model when we assume that volatility today depends only upon recent prior volatility?
|
A) |
An autoregressive conditional heteroskedasticity (ARCH) model. | |
|
B) |
A time weighted historical volatility model. | |
|
C) |
An implied volatility model. | |
ARCH is commonly used with econometric forecasting techniques.
作者: 土豆妮 时间: 2010-4-20 15:09
Suppose that market participants give the most importance to the most recent movements in yield. Which of the following best describes how the historical yield estimate should be adjusted?
|
A) |
Use only the most recent observations. | |
|
B) |
Give increased weight to the most recent observations. | |
|
C) |
Give increased weight to the implied volatility measure. | |
In this way the forecasted volatility reacts faster to a recent major market movement.
作者: 土豆妮 时间: 2010-4-20 15:09
Which of the following is NOT an accepted method for forecasting yield volatility? Using:
|
A) |
the absolute difference between the spot and forward rate. | |
|
B) |
the simple average of recent squared daily yield changes. | |
|
C) |
the standard deviation of recent daily yield changes. | |
To forecast yield volatility, an analyst should compute a recent standard deviation of yield changes. It is acceptable to assume the mean yield change is zero and use the average of recent squared rate changes. This can be a simple average or a weighted average where the more recent squared changes are weighted more heavily.
作者: 土豆妮 时间: 2010-4-20 15:09
Yield volatility has been observed to follow patterns over time. One class of statistical techniques used to forecast those patterns is called:
|
A) |
autoregressive heteroskedasticity models. | |
|
B) |
autoregressive capital hedging models. | |
|
C) |
absolute regression chart highlight models. | |
Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.
作者: 土豆妮 时间: 2010-4-20 15:10
Which of the following is the most appropriate model when we assume that volatility today depends only upon recent prior volatility?
|
A) |
An autoregressive conditional heteroskedasticity (ARCH) model. | |
|
B) |
A time weighted historical volatility model. | |
|
C) |
An implied volatility model. | |
ARCH is commonly used with econometric forecasting techniques.
作者: 土豆妮 时间: 2010-4-20 15:10
Suppose that market participants give the most importance to the most recent movements in yield. Which of the following best describes how the historical yield estimate should be adjusted?
|
A) |
Use only the most recent observations. | |
|
B) |
Give increased weight to the implied volatility measure. | |
|
C) |
Give increased weight to the most recent observations. | |
In this way the forecasted volatility reacts faster to a recent major market movement.
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