This Question will OWN YOU (I think)

CFA Level II
#1

Suppose that the sample mean of 25 daily yield changes is 0.08 percent, and the sum of the squared deviations from the mean is 9.6464. Which of the following is the closest to the daily yield volatility? A) 0.3859%. B) 0.4019%. C) 0.6212%. D) 0.6340%.

#2

D?? totally random…

#3

ugh nevermind…goodnight

#4

Q-Bank. Don’t remember though.

#5

I feel brave. Sum of the squared deviations from the mean is 9.6464. So average squared deviation is 9.6464/25. And average deviation is the sqrt of that, so C, .6212%. Heh, pulled that one out of my ass. Is it right?

#6

Is it D? (the Std DEviation = (9.6464 / 24) ^ .5

#7

Almost went with B - but just realized from the previous post that the volatility is the SD, not the variance

#8

elparko Wrote: ------------------------------------------------------- > I feel brave. Sum of the squared deviations from > the mean is 9.6464. So average squared deviation > is 9.6464/25. And average deviation is the sqrt of > that, so C, .6212%. Heh, pulled that one out of my > ass. Is it right? that was my method…except your denominator should be n-1 = 24…which would bring you to answer D = 0.6339

#9

D This is part of level 1 program.

#10

why no answer here?

#11

D…but sometimes this is done with natural logs?

#12

D

#13

hmm…just hunted down the formula and it’s std dev annual = std. dev daily * (# of trading days in the year)^1/2 even still i don’t know what the answer is. i can’t remember what to use for # of trading days

#14

Nah, that’s for annualizing a daily std. dev. (and 250 is a good number of trading days usually). mumu has a fine answer above

#15

I got D… but isn’t the proper way taking the log changes… i hate when cfa/schweser/etc. isn’t precise. because you don’t know if it’s the wrong answer or just laziness on their part.

#16

yep D this is Qbank

#17

got d

#18

its d…like you would with regression…you take your sum of squared deviations and divide by n-1 (because it is a sample) and then you take the square root of it to get the std deviation aka the volatility

#19

Sorry Folks, Went to bed and Forgot to post the Answer! D is the correct Answer: (9.6464 / (25-1))^(1/2) = 0.6340%

#20

AFJunkie Wrote: > D is the correct Answer: > > (9.6464 / (25-1))^(1/2) = 0.6340% I hate when they misuse % like that. 9.6464 is not equal to 9.6464*10^-4