# The following table presents sample daily historical price data for a stock whose returns are given in

## Question:

The following table presents sample daily historical price data for a stock whose returns are given in the third column.

**a.** Based on a traditional sample estimator, calculate a daily variance estimator for this stock.

**b.** Assume that returns follow a Brownian motion process (at least that stock returns are uncorrelated over time) and that there are 30 trading days per month. What would be the monthly variance for this stock?

**c.** What would be the Parkinson extreme value estimated daily returns variance for this stock?

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## Step by Step Answer:

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