土豆妮

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.

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ARCH is commonly used with econometric forecasting techniques.

土豆妮

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.

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In this way the forecasted volatility reacts faster to a recent major market movement.

土豆妮

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.

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Autoregressive heteroskedasticity (ARCH) models incorporate past patterns of yield volatilities to forecast future patterns.

土豆妮

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.

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ARCH is commonly used with econometric forecasting techniques.