a. The estimated volatility (0) of Green Corp. is 0.063% and the stock price in 2020...

 

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a. The estimated volatility (0²) of Green Corp. is 0.063% and the stock price in 2020 and 2021 were $32.56 and $30.92 respectively. The parameters in the exponential weighted moving average (EWMA) model is 0.75. What is the forecasted volatility for 2022? (2.5 ks) 2 = 2 0₁-1² Formula: on² 1² + (1 -2 )un-1² b. On 12 October 2022 ASX200 closed at $3,146 and the daily volatility (²) of the index was estimated as 2.25% per day at that time. The long-term volatility is 2.75% per day and parameters in a GARCH (1,1) model are y = 0.03, a=0.05 and 3 =0.94. What is the new volatility estimate if ASX200 closed at $3,569 on 13 October 2022? (2.5 marks) 2 ² + Σ Bi on-₁² Formula: on² = V + Σ α₁ Un-i² a. The estimated volatility (0²) of Green Corp. is 0.063% and the stock price in 2020 and 2021 were $32.56 and $30.92 respectively. The parameters in the exponential weighted moving average (EWMA) model is 0.75. What is the forecasted volatility for 2022? (2.5 ks) 2 = 2 0₁-1² Formula: on² 1² + (1 -2 )un-1² b. On 12 October 2022 ASX200 closed at $3,146 and the daily volatility (²) of the index was estimated as 2.25% per day at that time. The long-term volatility is 2.75% per day and parameters in a GARCH (1,1) model are y = 0.03, a=0.05 and 3 =0.94. What is the new volatility estimate if ASX200 closed at $3,569 on 13 October 2022? (2.5 marks) 2 ² + Σ Bi on-₁² Formula: on² = V + Σ α₁ Un-i²

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