5. Set 20 (i.e., the variance of the first observation) equal to the variance of the entire...

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5. Set 20

(i.e., the variance of the first observation) equal to the variance of the entire sequence of returns (you can square the standard deviation found earlier). Then calculate

2t C1 D 0:942t C0:06R2t for t D 2;3; : : : ;T (the last observation). Plot the sequence of standard deviations (i.e., plot t).

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Elements Of Financial Risk Management

ISBN: 9780128102350

2nd Edition

Authors: Peter Christoffersen

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Question Posted: Oct 19, 2024 12:00 PM

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5. Set 20 (i.e., the variance of the first observation) equal to the variance of the entire...

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Elements Of Financial Risk Management

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