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Hull 19.08 |
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beta (b) |
0.920 |
0.920 |
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Updated Volatility Estimate |
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If GARCH (1,1): alpha, beta, & gamma |
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Assumptions |
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omega (w) |
0.0000020 |
0.0000020 |
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Last Volatility |
1.00% |
1.00% |
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alpha (a) |
0.060 |
0.060 |
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Last Variance |
0 |
0 |
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alpha + beta (a+b) |
0.9800 |
0.9800 |
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Yesterday's price |
1040 |
1040 |
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gamma |
0.020 |
0.020 |
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Today's price |
1060 |
1060 |
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sum of weights: |
1.000 |
1.000 |
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Last Return |
1.905% |
1.923% |
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Long Term Variance |
0.00010 |
0.00010 |
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GARCH(1,1) |
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Long Term Volatility |
1.0000% |
1.0000% |
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Updated Variance |
0.000116 |
0.000116 |
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Updated Volatility |
1.0760% |
1.0779% |
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GARCH (1,1) Forecast |
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Number of days (t) |
10 |
10 |
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Forecast Variance |
0.00011289 |
0.00011323 |
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Forecast Volatility |
1.0625% |
1.0641% |
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