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hull.19.08 by btzoho  111 views
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Hull 19.08
beta (b) 0.920 0.920 Updated Volatility Estimate
If GARCH (1,1): alpha, beta, & gammaAssumptions
omega (w) 0.0000020 0.0000020 Last Volatility1.00%1.00%
alpha (a) 0.060 0.060 Last Variance00
alpha + beta (a+b) 0.9800 0.9800 Yesterday's price10401040
gamma 0.020 0.020 Today's price10601060
sum of weights: 1.000 1.000 Last Return1.905%1.923%
Long Term Variance 0.00010 0.00010 GARCH(1,1)
Long Term Volatility1.0000%1.0000%Updated Variance 0.000116 0.000116
Updated Volatility1.0760%1.0779%
GARCH (1,1) Forecast
Number of days (t)1010
Forecast Variance 0.00011289 0.00011323
Forecast Volatility1.0625%1.0641%
Hull_19_08
 
     
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