The following table presents sample daily historical price data for a stock whose returns are given in

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The following table presents sample daily historical price data for a stock whose returns are given in the third column.

Time 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 Pricet Returnt 30.000

a. Based on a traditional sample estimator, calculate a daily variance estimator for this stock.

b. Assume that returns follow a Brownian motion process (at least that stock returns are uncorrelated over time) and that there are 30 trading days per month. What would be the monthly variance for this stock?

c. What would be the Parkinson extreme value estimated daily returns variance for this stock?

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