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QUIZ: Volatility & Price Jumps
12 Questions (One Correct Answer per Question)
Volatility & Price Jumps
Q1: What does volatility measure in financial markets?
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Q2: What does research suggest about the primary driver of short-term (high-frequency) price volatility?
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Q3: Which of the following best describes the concept of volatility clustering in financial markets?
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Q4: What is an application of the Ljung-Box (LB) test in the context of financial time series?
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Q5: Which of the following models can capture volatility clustering and fat tails in financial time series?
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Q6: The Hurst exponent (H) is used to measure long-term memory in financial time series. What does an H value of 0.75 indicate about volatility?
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Q7: Which of the following statements correctly describes the relationship between past returns and future volatility?
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Q8: Why is the VIX index often referred to as the "fear gauge" in financial markets?
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Q9: What does the Range Test statistic primarily measure in financial data?
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Q10: In the Lee-Mykland (LM) test for volatility jumps, what does a "J" statistic of -1 indicate?
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Q11: Which statistical regularity observed in financial markets can be best explained by Agent-Based Models (ABMs)?
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Q12: In the context of financial markets, what is an emergent property of Agent-Based Models (ABM) that traditional economic models fail to capture?
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