1 Given the following historical prices calculate a distribution of possible prices for the next time period: Time 1 2 Price 100 80 3 60 4 20 5 30 6 7 40 60 89 10 11 40 30 50 50 What is the 85% VaR? What is the 85% expected Shortfall? Using an exponentially weighted moving average with lambda=0.5 calculate and estimate of the volatility at the current time.
1 Given the following historical prices calculate a distribution of possible prices for the next time period: Time 1 2 Price 100 80 3 60 4 20 5 30 6 7 40 60 89 10 11 40 30 50 50 What is the 85% VaR? What is the 85% expected Shortfall? Using an exponentially weighted moving average with lambda=0.5 calculate and estimate of the volatility at the current time.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:1 Given the following historical prices calculate a distribution of possible prices for
the next time period:
2
100
Time
Price
1
3
60
4
5
6.
8
10
11
50
80
20
30
40
60
40
30
50
What is the 85% VaR?
What is the 85% expected Shortfall?
Using an exponentially weighted moving average with lambda=0.5 calculate and
estimate of the volatility at the current time.
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