标题: Finite and Constant in Quant [打印本页] 作者: segalm 时间: 2011-7-11 19:03 标题: Finite and Constant in Quant
In Reading 11, the book takes about numbers that are finaite and constant. I understand finite, but what does "constant" mean? Thx.作者: zhaoyp 时间: 2011-7-11 19:03
constant means that the value does not change and remains the same.作者: iteracom 时间: 2011-7-11 19:03
Hi Thx for the info. I was hoping it wasn't that simple. Can you give an example where the variances are not constant? (This is from book one on page 285.)作者: Otabek 时间: 2011-7-11 19:03
I've already passed all the CFA exams so good luck making me find that in a CFA textbook :-P
Where variances are not constant would be with GARCH models which is caused by volatility clustering. We use GARCH models to generalize and make a more accurate variance estimate since market volatility and correlations rise significantly during times of stress. Assuming a constant variance can lead you to underestimate risk during volatile markets and overestimate risk during stable markets.作者: WarrenB1 时间: 2011-7-11 19:03
joec4256 Wrote:
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> Hi Thx for the info. I was hoping it wasn't that
> simple. Can you give an example where the
> variances are not constant? (This is from book one
> on page 285.)
