Consider the following model for the mean and volatility of asset returns 𝑟 𝑡 : 𝑟 𝑡 = 𝛽 ℎ 𝑡 + 𝜀 𝑡 𝜀 𝑡 = ℎ 𝑡 𝑢 𝑡 ℎ 𝑡 = 𝜇 * + 𝜙 1 * 𝜀 𝑡 − 1 2 + 𝜙 2 * 𝜀 𝑡 − 2 2 + 𝜙 3 * 𝜀 𝑡 − 3 2 𝔼 𝑡 − 1 ( 𝑢 𝑡 ) = 0 𝔼 𝑡 − 1 ( 𝑢 𝑡 2 ) = 1 What is the conditional expectation 𝔼 𝑡 − 1 ( 𝑟 𝑡 ) ? 单项选择题

A

𝔼 𝑡 − 1 ( 𝑟 𝑡 ) = ℎ 𝑡 𝑢 𝑡 2

B

𝔼 𝑡 − 1 ( 𝑟 𝑡 ) = 𝛽 𝑟 𝑡 − 1

C

𝔼 𝑡 − 1 ( 𝑟 𝑡 ) = 0

D

𝔼 𝑡 − 1 ( 𝑟 𝑡 ) = 𝛽

E

𝔼 𝑡 − 1 ( 𝑟 𝑡 ) = 𝛽 ℎ 𝑡

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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%.

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