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Consider a portfolio consisting of two stocks: Shoprite Holdings Limited (SHP) and AngloGold Ashanti Limited (ANG). The monthly stock prices in rand from 01 August
Consider a portfolio consisting of two stocks: Shoprite Holdings Limited (SHP) and AngloGold Ashanti Limited (ANG). The monthly stock prices in rand from 01 August 2021 to 01 August 2022 are given in the following table: 6.1 Determine the monthly log-return of SHP and ANG respectively. Hint: The log-return i can be calculated by using the following formula: i=ln(Si1Si),i=1,,12. where Si is the stock price at month i and Si1 the stock price at previous month n1. 6.2 Use the GARCH (1,1) model to estimate volatility n for each stock. Use the following formula: n2=+n12+n12, where =0.000002,=6% and =89%. Hint: See your prescribed book, Chapter 23: "Estimating volatilities and correlations". Consider a portfolio consisting of two stocks: Shoprite Holdings Limited (SHP) and AngloGold Ashanti Limited (ANG). The monthly stock prices in rand from 01 August 2021 to 01 August 2022 are given in the following table: 6.1 Determine the monthly log-return of SHP and ANG respectively. Hint: The log-return i can be calculated by using the following formula: i=ln(Si1Si),i=1,,12. where Si is the stock price at month i and Si1 the stock price at previous month n1. 6.2 Use the GARCH (1,1) model to estimate volatility n for each stock. Use the following formula: n2=+n12+n12, where =0.000002,=6% and =89%. Hint: See your prescribed book, Chapter 23: "Estimating volatilities and correlations
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