These are recent closing prices of KB Home (KBH) stock: Date KBH close 30Aug2021 31Aug2021 43.15...
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These are recent closing prices of KB Home (KBH) stock: Date KBH close 30Aug2021 31Aug2021 43.15 43.03 The volatility of logarithmic returns on KBH stock, as of 30Aug2021, esti- mated using the exponentially weighted moving average (EWMA) model with a decay factor of 0.94, was 0.293376 or 29.3376 percent at an annual rate. • Using the square-root-of-time rule and assuming 256 trading days in a year, what was the logarithmic KBH return volatility as of 30Aug2021 at a daily rate? • What was the realized logarithmic daily KBH return on 31Aug2021? Using the recursive formula, a decay factor of 0.94, the estimated logarithmic KBH return volatility as of 30Aug2021, and the realized KBH return on 31Aug2021, update the daily return volatility estimate as of the close on 31Aug2021. These are recent closing prices of KB Home (KBH) stock: Date KBH close 30Aug2021 31Aug2021 43.15 43.03 The volatility of logarithmic returns on KBH stock, as of 30Aug2021, esti- mated using the exponentially weighted moving average (EWMA) model with a decay factor of 0.94, was 0.293376 or 29.3376 percent at an annual rate. • Using the square-root-of-time rule and assuming 256 trading days in a year, what was the logarithmic KBH return volatility as of 30Aug2021 at a daily rate? • What was the realized logarithmic daily KBH return on 31Aug2021? Using the recursive formula, a decay factor of 0.94, the estimated logarithmic KBH return volatility as of 30Aug2021, and the realized KBH return on 31Aug2021, update the daily return volatility estimate as of the close on 31Aug2021.
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Related Book For
An Introduction to Management Science Quantitative Approaches to Decision Making
ISBN: 978-1111823610
14th edition
Authors: David R. Anderson, Dennis J. Sweeney, Thomas A. Williams, Jeffrey D. Camm, James J. Cochran
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