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Correct answer is B
A is incorrect. This solution incorrectly calculates the long term mean of X to be 0.1/0.8 = 0.125
B is correct. For a AR(1) model of the form: X(t) = alpha + beta X(t-1) + e(t), where E[e(t)] = 0, the long term mean of X is alpha / (1-beta).
For this problem, the long term mean of X is 0.5000 = 0.1 / (1.0 - 0.8).
C is incorrect. This solution incorrectly calculates the long term mean of X to be (1.0 - 0.8) / 0.1 = 2.000
D is incorrect.
Reference: Philippe Jorion, Value At Risk, 3rd ed. Chapter 9.
Type of Question: Quantitative Analysis | 
发表于 2009-6-13 10:40
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