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Question:
σ2t = β0 + β1σ2 t - 1 + λ1ε2t -1
(a) Interpret parameter 1 and 1 in model (1) and derive the long-term unconditional variance.
(b) What diagnostic test should be done before applying model (1)?
(c) A researcher finds that model (1) can only account for volatility clustering but not for leverage effects. Distinguish between these two terms and explain how you would adjust model (1) to cater for leverage effects?
(d) How GARCH modelling is related to hedging?
Question: i) Compare and contrast the various types of fixed income securities. ii) ‘A new issue of callable bonds will generally carry a higher interest rate
1. Motives - This section should include a detailed discussion of the main motives for the proposed acquisition supported by the latest academic literature and advances within the
Question: (a) You have just been recruited as risk analyst at the Air Mauritius Limited. Your risk manager is trapped between diverging expectations. He is not sure whether oil
Source of short term finance
How has the merger activity in the past decade affected the concentration of assets in the banking industry? A: Over the last decade, the number of commercial banks declined
The higher the rate of interest the more likely you will elect to invest your funds and forego current consumption. Is this statement true or false?
#queM&A E-III Corp. is investigating the possible acquisition of Silicon Inc. Assume that both firms have no debt outstanding. E-III Corp. Silicon Inc. Pre-announcement stock price
From a Corporate Finance and Governance perspective, the IMP is about answering three fundamental questions: 1. How much value does the organisation create/destroy today? 2.
discuss in detail various sources ffom wherebabks can borrow funds within India
Question 1: (a) What are the competing theories which have been put forward to explain the term structure of interest rates? Which theories do the evidence tend to support?
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