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use the data in Table 2 below. Correlations and volatilities are updated using a GARCH (1,1) model. Estimates of the model's parameters are a-0.04
use the data in Table 2 below. Correlations and volatilities are updated using a GARCH (1,1) model. Estimates of the model's parameters are a-0.04 and =094. For the correlation W=O.OOOOOI and for the volatilities 10=0.000003. Use today's closing prices to show how the correlation estimate is updated. Table 2. Current Daily Volatility Yesterday's closing Price Toda s closin price Correlation Coefficient (A,B) Asset A 1.0% $30.00 $31.00 (10 marks) Asset B 1.2% $50.00 $51.00 0.50
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