Please answer all part : Let rt be a log return. Suppose that r0, r1, . . . are i.i.d. N(0, 0.01^2). (a) What is the distribution of rt(8) = rt + rt−1 + rt−2 +...+ rt−7? (b) What is the covariance between r7(3) and r9(3)? (c) What is the conditional distribution r17(3) given that r16 =0.004 (d) What is the probability that the gross return over the first 10 times periods is at least 1.05?
Please answer all part : Let rt be a log return. Suppose that r0, r1, . . . are i.i.d. N(0, 0.01^2). (a) What is the distribution of rt(8) = rt + rt−1 + rt−2 +...+ rt−7? (b) What is the covariance between r7(3) and r9(3)? (c) What is the conditional distribution r17(3) given that r16 =0.004 (d) What is the probability that the gross return over the first 10 times periods is at least 1.05?
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Please answer all part :
Let rt be a log return. Suppose that r0, r1, . . . are i.i.d. N(0, 0.01^2).
(a) What is the distribution of rt(8) = rt + rt−1 + rt−2 +...+ rt−7?
(b) What is the covariance between r7(3) and r9(3)?
(c) What is the conditional distribution r17(3) given that r16 =0.004
(d) What is the probability that the gross return over the first 10 times periods is at least 1.05?
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VIEWStep 3: Calculate the covariance between r7(3) and r9(3)
VIEWStep 4: Determine the conditional distribution r17(3) given that r16 =0.004
VIEWStep 5: Calculate the probability that the gross return over the first 10 times periods is at least 1.05
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