| |
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|
| |
beta (b) or lambda |
|
|
0.920 |
0.898 |
|
<< weights the lagged variance in either case |
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| |
If EWMA: lambda only |
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|
|
|
|
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| |
|
1-lambda |
|
0.080 |
0.102 |
|
|
|
| |
|
sum of weights |
|
1.00 |
1.00 |
|
|
|
| |
If GARCH (1,1): alpha, beta, & gamma |
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|
|
|
|
|
|
| |
|
omega (w) |
|
0.00000200 |
0.00000176 |
|
|
|
| |
|
alpha (a) |
|
0.130 |
0.063 |
|
|
|
| |
|
alpha + beta (a+b) |
|
1.0500 |
0.9602 |
|
|
|
| |
|
gamma |
|
(0.050) |
0.040 |
|
|
|
| |
|
sum of weights: |
|
1.000 |
1.000 |
|
<< must sum to 1.0 |
|
| |
|
Long Term Variance |
|
(0.00004) |
0.00004 |
|
<< omega = gamma*Long run variance |
|
| |
|
Long Term Volatility |
|
Err:502 |
0.6650% |
|
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| |
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|
| |
Updated Volatility Estimate |
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|
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|
| |
Assumptions |
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|
|
|
|
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|
| |
|
Last Volatility |
|
1.60% |
0.60% |
|
|
|
| |
|
Last Variance |
|
0 |
0 |
|
|
|
| |
|
Yesterday's price |
|
10.00 |
10.00 |
|
|
|
| |
|
Today's price |
|
9.90 |
10.21 |
|
|
|
| |
|
Last Return |
|
-1.0% |
2.0% |
|
|
|
| |
EWMA |
|
|
|
|
|
|
|
| |
|
Updated Variance |
|
0.000244 |
0.000074 |
|
|
|
| |
|
Updated Volatility |
|
1.56% |
0.86% |
|
|
|
| |
|
|
|
|
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|
| |
GARCH(1,1) |
|
|
|
|
|
|
|
| |
|
Updated Variance |
|
0.000251 |
0.000060 |
|
|
|
| |
|
Updated Volatility |
|
1.58% |
0.77% |
|
|
|
| |
|
|
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|
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|
| |
GARCH (1,1) Forecast |
|
|
|
|
|
<< EMWA "forecast" is simply current estimate! |
|
| |
|
Number of days (t) |
|
10 |
10 |
|
|
|
| |
|
Forecast Variance |
|
0.00043391 |
0.00005463 |
|
|
|
| |
|
Forecast Volatility |
|
2.083% |
0.739% |
|
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| |
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|