Suppose the volatilities on Day 1 and Day 2 were estimated to be o, and o2, and the returns were u, = 2% and u2 = -5%, respectively. Which of the following values of o, and o2 would yield the highest likelihood? Assume that the probability distribution of returns conditional on the volatility is normal, expected daily return is zero. 0=5% and o2=2% Ob. 01=3% and 02=4% 01=1% and 02=5% O d. 01=2% and o2=7% O . 01=1% and o2=4%

Suppose the volatilities on Day 1 and Day 2 were estimated to be o, and o2, and the returns were u, = 2% and u2 = -5%, respectively. Which of the following values of o, and o2 would yield the highest likelihood? Assume that the probability distribution of returns conditional on the volatility is normal, expected daily return is zero. 0=5% and o2=2% Ob. 01=3% and 02=4% 01=1% and 02=5% O d. 01=2% and o2=7% O . 01=1% and o2=4%

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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