The following results are provided: trading days from today (t) 1 63 future instantaneous variance 0.000056...

  

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The following results are provided: trading days from today (t) 1 63 future instantaneous variance 0.000056 0.000095 average daily variance 0.000055 0.000078 annualized volatility o(t) 11.80% 14.05% shift in o(t) equivalent to 1% shift in o(0) 1.00% 0.50% (f) Explain the results for the future instantaneous variance with respect to V₁ and V(0) (g) Explain the results for the shift in o(t) equivalent to 1% shift in o(0) with respect to mean reversion (1 mark) (2 marks) The following results are provided: trading days from today (t) 1 63 future instantaneous variance 0.000056 0.000095 average daily variance 0.000055 0.000078 annualized volatility o(t) 11.80% 14.05% shift in o(t) equivalent to 1% shift in o(0) 1.00% 0.50% (f) Explain the results for the future instantaneous variance with respect to V₁ and V(0) (g) Explain the results for the shift in o(t) equivalent to 1% shift in o(0) with respect to mean reversion (1 mark) (2 marks)

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Based on the information provided we can prepare a bank reconciliation statement for the Cash accoun... View the full answer