Question: Build a stochastic volatility model for the daily log return of Cisco Systems stock from January 1991 to December 1999. You may download the data

Build a stochastic volatility model for the daily log return of Cisco Systems stock from January 1991 to December 1999. You may download the data from the CRSP database or the file dcsco9199.txt. Use the model to obtain a predictive distribution for 1-

step ahead volatility forecast at the forecast origin December 1999.

Finally, use the predictive distribution to compute the value at risk of a long position worth $1 million with probability 0.01 for the next trading day.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Financial Reporting and Analysis Questions!

Build a stochastic volatility model for the daily log return of Cisco Systems stock from January 1991 to December 1999. You may download the data from CRSP database or the file "d-csco9199.dat." Use...

Build a stochastic volatility model for the daily log return of Cisco Systems stock from January 2001 to December 2008. You may download the simple return of the stock from the CRSP database or the...

The file "d-csco9199.dat" contains the daily log returns of Cisco Systems stock from 1991 to 1999 with 2275 observations. Suppose that you hold a long position of Cisco stock valued at $\$ 1$...

An investor is interested in daily value at risk of his position on holding long \$0.5 million of Dell stock and \$1 million of Cisco Systems stock. Use $5 \%$ critical values and the daily log...

Consider the daily simple returns of Johnson & Johnson stock from January 1998 to December 2008. The data are in the file d-jnj9808.txt or can be obtained from CRSP. Convert the returns into log...

Hello. I need to write a three page review for the two articles attached. Each review should include a brief summary that include the major points of the article, as well as a summary of my own...

SEE "DOCUMENT 1" FOR CRITERIA 2 "DOCUMENT 2" FOR CRITERIA 4 You are to write a 3 to 4 page paper following APA rules for the title page, citations and appropriate references within the body of the...

SEE "DOCUMENT 1" FOR CRITERIA 2 "DOCUMENT 2" FOR CRITERIA 4. You are to write a 2 to 4 page paper following APA rules for the title page, citations and appropriate references within the body of the...

When is a cash method taxpayer allowed to deduct deposits?

A 150-pound person goes to Hardees for dinner and orders a regular roast beef (270 Cal) and a big roast beef (410 Cal) sandwich together with a 12-oz can of Pepsi (150 Cal). A 150-pound person burns...

Bond value and changing required returnsBond X has a coupon rate of 1 1 % , and Bond Y pays a 5 % annual coupon. Assume that both bonds have a $ 1 comma 0 0 0 - par - value. Both bonds have 1 3 years...

Making journal entries for a sale of a by-product when different accounting methods are used. The Houston Chemical Company manufactures a commercial chemical. In the Filtering Department, the product...

Consider, again, the monthly unemployment rates of the states of Illinois, Michigan, and Ohio in the prior question. Specify three SCMs for the data. No estimation is needed.

Consider the monthly unemployment rates of Illinois, Michigan, and Ohio from January 1976 to November 2009. The data are seasonally adjusted and can be obtained from the Federal Reserve Bank of St....

Write down the structure of a three-dimensional VARMA model if the Kronecker indices of the vector time series are $\{1,0,1\}$.

explain how debt financing can be used to control agency costs due to the misalignment of interest between shareholders and mangers

rabbit company issued at $140000, 4.0%, 10 year Keel Company purchased a building and land with a fair market value of 5475,000 (building, $275,000 and land, $200,000) on January 1, 2018. Keel signed...

4 points A family-run hotel chain provides disposable slippers for their guests. The yearly demand for disposable slippers is 2500 slippers, Adaposable slipper conto cants and has an alternative...