3. Suppose that we observe the following data about a stock, calculate the (expected) daily volatility on day 5 for each of the following volatility models, using the data contained below.

i	Si	(Si-Si-1)/Si-1
0	30.20
1	32.00	0.0596
2	31.10	-0.0281
3	30.10	-0.0322
4	30.20	0.0033

a. The sample standard deviation assuming expected daily return is zero.

(2 marks)

b. The EWMA model with = 0.94 (assume ₂ = |S₁-S₀|/S₀)

(2 marks)

c. The GARCH(1,1) model with = 0.000002, = 0.04, and = 0.94

(assume ₂ = |S₁-S₀|/S₀)

(2 marks)

3. Suppose that we observe the following data about a stock, calculate the expected) daily volatility on day 5 for each of the following volatility models, using the data contained below. i Si (5:-S:-1)/S-1 0 30.20 1 32.00 0.0596 2 31.10 -0.0281 3 30.10 -0.0322 4 4 30.20 0.0033 a. The sample standard deviation assuming expected daily return is zero. (2 marks) b. The EWMA model with 1 = 0.94 (assume 02 = 1S1-Sol/So) (2 marks) C. The GARCH(1,1) model with w = 0.000002, a = 0.04, and B = 0.94 (assume 02 = 151-5ol/50) (2 marks) 3. Suppose that we observe the following data about a stock, calculate the expected) daily volatility on day 5 for each of the following volatility models, using the data contained below. i Si (5:-S:-1)/S-1 0 30.20 1 32.00 0.0596 2 31.10 -0.0281 3 30.10 -0.0322 4 4 30.20 0.0033 a. The sample standard deviation assuming expected daily return is zero. (2 marks) b. The EWMA model with 1 = 0.94 (assume 02 = 1S1-Sol/So) (2 marks) C. The GARCH(1,1) model with w = 0.000002, a = 0.04, and B = 0.94 (assume 02 = 151-5ol/50) (2 marks)