题目
题目

BU.232.630.W6.SP25 sample_quiz_3

单项选择题

Consider the following model for the mean of asset returns rt: rt=α+βzt−1+εt where zt−1 is a predictor of the returns. The model for the volatility is εt= √ ht ut ht=μ*+ϕ * 1 ε 2 t−1 +ϕ * 2 ε 2 t−2 +ϕ * 3 ε 2 t−3 𝔼t−1(ut)=0 𝔼t−1(u 2 t )=1 What is the conditional expected value of the returns 𝔼t−1(rt)? Choose the best answer below.

选项
A.𝔼t−1(rt)=βzt−1
B.𝔼t−1(rt)=βrt−1+α
C.𝔼t−1(rt)=α+βzt−1
D.𝔼t−1(rt)= α 1−β
E.𝔼t−1(rt)=zt−1
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标准答案
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思路分析
To find the conditional expectation E_{t-1}(r_t), we start from the given mean model r_t = α + β z_{t-1} + ε_t and note that, by construction, the error term ε_t has conditional mean zero given information up to t−1, i.e., E_{t-1}(ε_t) = 0 (since E_{t-1}(u_t) = 0 and ε_t = √h_t u_t with h_t determined by past ......Login to view full explanation

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If the conditional variance for tomorrow's return is 0.0004, 𝑉 𝑎 𝑅 𝑡 ( 𝑅 𝑡 + 1 ) = ( 0.02 ) 2 = 0.0004 , then the conditional expectation for tomorrow's return is 2% or -2%.

Consider the following model for the mean of asset returns rt: rt=α+βzt−1+εt where zt−1 is a predictor of the returns. The model for the volatility is εt= √ ht ut ht=μ*+ϕ * 1 ε 2 t−1 +ϕ * 2 ε 2 t−2 +ϕ * 3 ε 2 t−3 𝔼t−1(ut)=0 𝔼t−1(u 2 t )=1 What is the conditional expected value of the returns 𝔼t−1(rt)? Choose the best answer below.

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