Assume that the price of asset x at close of trading

Assignment Help Business Management

Reference no: EM1360185

Suppose that the price of Asset X at close of trading yesterday was $300 and its volatility was estimated as 1.3% per day. The price of X at the close of trading today is $298. Suppose further that the price of Asset Y at the close of trading yesterday was $8, its volatility was estimated as 1.5% per day, and its correlation with X was estimated as 0.8. The price of Y at the close of trading today is unchanged at $8. Update the volatility of X and Y and the correlation between X and Y using

The EWMA model with λ = 0.94

The GARCH(1,1) model with ω = 0.000002, α = 0.04, and β = 0.94.

In practice, is the ω parameter likely to be the same for X and Y?

Reference no: EM1360185

Questions Cloud

Control against the unintended consequences controls create : Which one from the 10 commandments of innovation do you believe to be most important to a organization? Why? Which of these do you believe your organization is already performing well? Why?

Approaches to leadership theory : There are at least four major approaches to leadership theory: Briefly compare and contrast the four leadership theories.

Choose one schedule development tools : In this discussion, choose one of the schedule development tools introduced or another tool that you are already familiar with that was not identified in the studies. Identify the tool and complete the following.

Calculate the growth rate : Grant Company's stock is selling for $40 in market. The required rate of return on the company's stock is 13.8%. This year dividend is $2 and dividends are expected to grow at a constant rate.

Assume that the price of asset x at close of trading : Assume that the price of Asset X at close of trading yesterday was $300 and its volatility was estimated as 1.3% per day

Illustrate what is strategic portfolio management : Illustrate what is strategic portfolio management. What is the relationship between strategic portfolio management and project management.

Managing change depending on the situation : Explain explains how change and the change process may vary under certain situations. He also discusses how the process can be adjusted depending on the change and the situation.

Goals of applied behavioral analysis : One of the main goals of applied behavioral analysis (ABA) is to modify and change behaviors that are detrimental to an individual's growth, development, and/or functioning.

Calculate stock price of corporation : Philadelphia Corporation's stock recently paid a dividend of $2.00 per share, and the stock is in equilibrium. The corporation has a constant growth rate of 5% and a beta equal to 1.5.

User Account

All Pages