标题: Quant- Q15 schweser - CI of Y- pg 170 [打印本页] 作者: Iginla2010 时间: 2013-4-11 19:46 标题: Quant- Q15 schweser - CI of Y- pg 170
coldplay forecast the excess return on the SP for June 07 to be 5 percent and the 95 CI for the predicted value of the excess return on VIGRX for june 07 to be 3.9% to 7.7%. the standard error is closest to:
a..0080
b.0093
c.0111
equation = EX VIGRX = BO + B1 (EX SP) + ERROR TERM
B0= .0023
B1= 1.1163
Tcritical= 2.03
I am not getting this right now, please fill me in.作者: dkishore1 时间: 2013-4-11 19:51
is the answer b? 0.0093?作者: needhelp1700 时间: 2013-4-11 19:55
CPK how did you get that? The SEs and the intervals are too different in scale to make sense unless somethings missing here. I cant see it.作者: NakedPuts 时间: 2013-4-11 20:03
0.0023+1.1163(0.05)= Value
Value+/- 2.03*(X)=0.039 on lower side, 0.077 on the higher side
solve for X.作者: Fdez 时间: 2013-4-11 20:07
the answer is B indeed, just a slit up this afternoon.作者: Flok 时间: 2013-4-11 20:12
Good job guys, guess i need to pay attention to more detail in quant. Scalability would be a problem if I was using 5 vs. 0.05. Jeez!
