On 23 September 2020 ASX200 closed at $4.546 and the daily volatility (02) of the index was estimated as 1.25% per day at that time. The long-term volatility is 1.5% per day and parameters in a GARCH (1.1) model are y -0.01, c =0.05 and B +0.94 What is the new volatility estimate if ASX200 closed at $4,636.2 on 24 September 20202 2.2% 1.5% 12 1.2% 15 Question 4 (2 points) Chris is a risk-taker and loves to invest in risky securities. The overall distribution of his returns is characterised by frequent small losses and a few large gains. This distribution is best described as having: O Positive skew and a mean less than the median Negative skew and a mean less than the median Positive skew and a mean greater than the median Question 5 (2 points) Consumers have shifted from using CRT (Cathode Ray Tube - old fashioned) televisions to flat panel display (LCDs, LEDs) televisions. As a result, companies those could not adopt the new technology fast enough still have inventories of CRT TV which can only be sold at losses. This risk is best described as: Risk that can be attributed to factor(s) that impact an industry is best described as: Systematic risk Market risk Unsystematic risk Question 6 (2 points) Under the normal market conditions Value at Risk (VaR) as the time horizon decreases and as the confidence level increases Decreases, increases O Increases, increases Increases, decreases Question 7 (2 points) You invested in a portflio, which has returns of 10% -2%, 18%, and -12% over a four-year period. The geometrie mean return across the period is closest to: Return R. P- Geometric mean RR, - 1 = RR,RR, X RR, -. X RR. - 1 8.1% 2.9% 3.5% Question 8 (2 points) Which of the following is not a type of market risk? Foreign exchange risk Liquidity risk Commodity price risk