Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Assume that observations on a stock price at the end of each 15 consecutive week are 30.2, 32, 31.1, 30.1, 30.2, 30.3, 30.6, 33, 32.9,
Assume that observations on a stock price at the end of each 15 consecutive week are 30.2, 32, 31.1, 30.1, 30.2, 30.3, 30.6, 33, 32.9, 33 , 33.5, 33.5, 33.7, 33.5 , 33.2 estimate the stock price volatility. Use trading days to estimate volatility. Number of trading days in a year = 252. Note: the time-step for observation is one calendar week, but you need to use trading days to compute the estimate. Use the log formula to express returns; use the unbiased estimator for the variance, take the mean into account when computing the volatility. Clearly write all the formulas you're using
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started