Question
The single-index model for stock A is estimated with the following result: RA = 0.01 + 0.8RM + eA. If M = 0.25 and (R^2)A
The single-index model for stock A is estimated with the following result: RA = 0.01 + 0.8RM + eA. If M = 0.25 and (R^2)A (R-squared) = 0.30, what is the standard deviation of return of stock A? (Use two decimal places, in percentage without the percentage sign.)
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The Volatility Surface A Practitioner's Guide
Authors: Jim Gatheral
1st Edition
0471792519, 978-0471792512
