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Hull 19.11 (MUCH MORE DIFFICULT THAN TYPICAL FRM EXAM!) |
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Asset X |
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Asset X |
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Daily Volatility |
1.00% |
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Omega (volatilities) |
0 |
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Yesterday's Close |
$30.00 |
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New GARCH Variance Est |
0.00014144 |
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Today's Close |
$31.00 |
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New GARCH Volatility Est |
1.19% |
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Simple return |
3.33% |
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Asset Y |
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Asset Y |
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Daily Volatility |
1.20% |
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Omega (volatilities) |
0 |
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Yesterday's Close |
$50.00 |
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New GARCH Variance Est |
0.00015436 |
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Today's Close |
$51.00 |
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New GARCH Volatility Est |
1.24% |
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Simple return |
2.00% |
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New Correlation Estimate |
0.569 |
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alpha |
0.04 |
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beta |
0.94 |
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Correlation |
0.5 |
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Covariance |
0.000060 |
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omega (correlation) |
0.0000010 |
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New Covar Est (GARCH) |
0.0000841 |
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