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please use excel**** Suppose that the price of stock X at close of trading yesterday was $100 and its volatility was estimated as 1.4% per
please use excel****
Suppose that the price of stock X at close of trading yesterday was $100 and its volatility was estimated as 1.4% per day. The price of X at the close of trading today is $97. Suppose further that the price of Asset Y at the close of trading yesterday was $40, its volatility was estimated as 1% per day, and its correlation with X was estimated as 0.5. The price of Y at the close of trading today is unchanged. Update the volatility of X and Y and the correlation between X and Y using a. The EWMA model with = 0.94. b. The GARCH(1,1) model with a = 0.000002, a=0.04, and B = 0.94. Suppose that the price of stock X at close of trading yesterday was $100 and its volatility was estimated as 1.4% per day. The price of X at the close of trading today is $97. Suppose further that the price of Asset Y at the close of trading yesterday was $40, its volatility was estimated as 1% per day, and its correlation with X was estimated as 0.5. The price of Y at the close of trading today is unchanged. Update the volatility of X and Y and the correlation between X and Y using a. The EWMA model with = 0.94. b. The GARCH(1,1) model with a = 0.000002, a=0.04, and B = 0.94Step by Step Solution
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