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hull.19.11 by btzoho  149 views
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Hull 19.11 (MUCH MORE DIFFICULT THAN TYPICAL FRM EXAM!)
Asset XAsset X
Daily Volatility1.00%Omega (volatilities)0
Yesterday's Close$30.00New GARCH Variance Est 0.00014144
Today's Close$31.00New GARCH Volatility Est1.19%
Simple return3.33%
Asset YAsset Y
Daily Volatility1.20%Omega (volatilities)0
Yesterday's Close$50.00New GARCH Variance Est 0.00015436
Today's Close$51.00New GARCH Volatility Est1.24%
Simple return2.00%
New Correlation Estimate 0.569
alpha 0.04
beta 0.94
Correlation0.5
Covariance0.000060
omega (correlation) 0.0000010
New Covar Est (GARCH)0.0000841
Hull_19_11
 
     
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