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【FRM每日一题】一级:定量分析

发表时间:2015/8/7 10:00:05 编辑: 告诉小伙伴:
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[编考按]【FRM每日一题】一级:定量分析?ABC Fund has been in existence for two years. ABC Fund has a stated objective of controlling volatility as measured by the standard deviation of monthly returns. Its average...

FRM每日一题

         ABC Fund has been in existence for two years. ABC Fund has a stated objective of controlling volatility as measured by the standard deviation of monthly returns. Its average monthly return has been 6% with a standard deviation of 5%.You are asked to test the null hypothesis that the volatility of ABC Fund';s monthly returns equal to 4% versus the alternative hypothesis that the volatility is different than 4%. Assuming that all monthly returns are independently and identically normally distributed, and using the tables below, which of the following choices is correct about the test to be used and what is the correct conclusion at the 2.5% level of significance?

         T-table: Inverse of the One-Tailed Probability of the Student’s-Distribution

         dfOne-Tailed Probability=5.0%       One-Tailed Probability=2.5%

         22           1.717                               2.074

         23           1.714                               2.069

         24           1.711                               2.064

        Chi-Square table: Inverse of the One-Tailed Probability of the Chi-Squared-Distribution

        dfOne-Tailed Probability=5.0%       One-Tailed Probability=2.5%

         22           33.9244                                     36.7807

        23           35.1725                                     38.0757

        24           36.4151                                     39.3641

        A.t-test; reject the null hypothesis

        B.Chi-square test; reject the null hypothesis

        C.t-test; do not reject the null hypothesis

        D.Chi-square test; do not reject the null hypothesis

        Answer: D

        The correct test is:

        Null Hypothesis:

        Alternative Hypothesis:

        Critical Region, reject the null if:

        Therefore, you would not reject the null hypothesis. A chi-square test is a statistical hypothesis test whereby the sampling distribution of the test statistic is a chi-squared distribution when the null hypothesis is true.

最新直播 课程主题: 2017年11月FRM一级Simulation开课时间: 07 月 20 日  |   07-30-00- 09-00-00

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