What is the new volatility estimate

Assignment Help Financial Management
Reference no: EM131239595

Assume that S&P 500 at close of trading yesterday was 1,040 and the daily volatility of the index was estimated as 1% per day at that time. The parameters in a GARCH(1,1) model are ω = 0:000002, α = 0:06, and β = 0:92.

If the level of the index at close of trading today is 1,060, what is the new volatility estimate?

Reference no: EM131239595

Questions Cloud

Participants interact to ensure that goods and services : Identify the three participants in a free business market. Write a brief memo explaining these participants interact to ensure that goods and services are distributed in a manner that satisfies consumers. Your memo should include answers to the f..
Compute the thickness of the petersen graph : Give an example of a 4-regular planar graph and an example of a 4-regular non planar graph.
Monthly income on beer and pizza : Brian works in a factory and spends his monthly income on Beer and Pizza. Microsoft Word - Econ 104A Homework 2.docx For all of the following situations, draw Brian's budget set and label the axes and intercepts.
How would the estimate of the daily volatility be updated : The parameter λ in the EWMA model is 0.9. Suppose that the exchange rate at 4 p.m. today proves to be 1.4950.  - How would the estimate of the daily volatility be updated?
What is the new volatility estimate : Assume that S&P 500 at close of trading yesterday was 1,040 and the daily volatility of the index was estimated as 1% per day at that time. -what is the new volatility estimate?
Determining the cost-minimizing combination : For the life of me I can't figure out the following: Output is produced according to Q=4LK, where L is the quantity of labor input and K is the quantity of capital input. If the price of K is $10 and the price of L is $5, then the cost-minimizin..
Prove that for a planar graph with k components : For which n is Kn planar and for which n is Kn non planar? Make and prove a conjecture.
What is the purpose of the where clause in a query : What is the purpose of the WHERE clause in a query? Can you write a query without using the WHERE clause? Explain.
What minimum requirement location quotients : The nation of Erehwon has three industries: manufacturing, agriculture and services. Each national industry has 50 million workers. Regional Consultants, Inc. (RCI) is doing an economic base study of the metropolis of Centralia, a metropolitan region..

Reviews

Write a Review

Financial Management Questions & Answers

  Hiring individuals with strong personal ethics

Businesses can make sure that they are hiring individuals with strong personal ethics by:

  Mobile phone plan

You have two choices on your Sprint Mobile phone plan. The first plan involves a cheap flip phone with no data plan and costs $25/month. The second plan involves a Samsung Galaxy that comes with a 4G data plan and costs $125/month. Find how much mone..

  What is their equity after

The Taylors have purchased a $310,000 house. They made an initial down payment of $30,000 and secured a mortgage with interest charged at the rate of 9%/year on the unpaid balance. Interest computations are made at the end of each month. If the loan ..

  What is the firms after tax cost of debt on the bond

A company is issuing a $1,000 par value bond that pays 7.0% annual interest and matures in 15 years that is paid semiannually. Investors are willing to pay $958 for the bond. The company is in the 18% marginal tax bracket. What is the firm's after ta..

  Firm has no debt outstanding and a total market value

If a firm has no debt outstanding and a total market value of $125,000. Earnings before interest and taxes are projected to be $10,400 if economic conditions are normal. If there is strong expansion in the economy, then EBIT will be 20% higher. Calcu..

  What is zeniths price and earnings ratio

Zenith Propulsion, Inc., is expected to pay a dividend next year of $2.15 per share. Investors think that Zenith will continue to increase its dividend by 6% each year for the foreseeable future. If the required rate of return on Zenith stock is 14%,..

  Preferred dividends-calculate the earnings per share

Assume there are 600,000 shares of common stock authorized by ABC Corporation. Of those, 500,000 shares have been issued. Later, 100,000 shares of the issued shares were repurchased by ABC Corporation and are currently held as Treasury Stock. Net Inc..

  Self-employed individual is opening a retirement account

Jimmy, a self-employed individual, is opening a retirement account at a bank. His goal is to accumulate $1,000,000 in the account by the time he retires from work in 20 years’ time. What should be the size of his first deposit (A1)?

  What is the payback period and net present value

A 3-year project project with an initial cost of $2,704 promises the following cash flows for years 1 through 3, respectively: $1,653, $1,501, $1,495. If you require a 5.8 percent rate of return on this project, what is the net present value? A proje..

  What is its self-supporting growth rate

Maggie's Muffins, Inc., generated $2,000,000 in sales during 2015, and its year-end total assets were $1,700,000. Also, at year-end 2015, current liabilities were $1,000,000, consisting of $300,000 of notes payable, $500,000 of accounts payable, and ..

  Mutually exclusive projects-calculate the payback period

Maxwell Software, Inc., has the following mutually exclusive projects. Year Project A Project B 0 –$17,000 –$20,000 1 10,500 11,500 2 7,000 8,000 3 2,600 7,000 a-1. Calculate the payback period for each project.  Payback period Project A years Projec..

  Expected return on the market-required rate of return

AA Industries’ stock has a beta of 0.5. The risk-free rate is 4%, and the expected return on the market is 10%. What is the required rate of return on AA's stock?

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd