The standard deviation of daily returns of a stock’s price is used as a measure of the risk of that stock. Suppose that in a sample of 101 days, the standard deviation of a particular stock is 1. 15%. a) In the past, the standard deviation of the daily returns of this stock has been 1.56%. Test the hypothesis at the 1% level of significance that the standard deviation has decreased from its previous level.
The standard deviation of daily returns of a stock’s price is used as a measure of the risk of that stock. Suppose that in a sample of 101 days, the standard deviation of a particular stock is 1. 15%. a) In the past, the standard deviation of the daily returns of this stock has been 1.56%. Test the hypothesis at the 1% level of significance that the standard deviation has decreased from its previous level.
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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The standard deviation of daily returns of a stock’s price is used as a measure of the risk of that stock. Suppose that in a sample of 101 days, the standard deviation of a particular stock is 1. 15%.
a) In the past, the standard deviation of the daily returns of this stock has been 1.56%. Test the hypothesis at the 1% level of significance that the standard deviation has decreased from its previous level.
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Consider that σ is the true population standard deviation of daily returns of a stock’s price.
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