1 Given the following historical prices calculate a distribution of possible prices for the next time...
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1 Given the following historical prices calculate a distribution of possible prices for the next time period: Time 1 2 Price 100 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. 80 3 60 4 20 5 30 6 40 60 7 89 40 30 10 11 50 50 1 Given the following historical prices calculate a distribution of possible prices for the next time period: Time 1 2 Price 100 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. 80 3 60 4 20 5 30 6 40 60 7 89 40 30 10 11 50 50
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