You are given the following 13 weekly observations on the price of 3M Company shares. Observation...
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You are given the following 13 weekly observations on the price of 3M Company shares. Observation 1 2 3 5 6 7 8 9 10 11 12 13 Date Aug 15, 2022 Aug 08, 2022 Aug 01, 2022 Jul 25, 2022 Jul 18, 2022 Jul 11, 2022 Jul 04, 2022 Jun 27, 2022 Jun 20, 2022 Jun 13, 2022 Jun 06, 2022 May 30, 2022 May 23, 2022 Stock Price 145.20 152.24 147.41 143.24 134.12 130.13 128.72 128.49 134.33 129.84 137.65 145.97 149.51 Assuming that the stock follows the lognormal model In (St/So)~ N(ut, o²t) estimate and o using data. Suppose that 8 = 0 and there are 52 weeks in a year. Compute an estimate for the continuously compounded rate of return on the expected value of the stock i.e. an estimate for a. You are given the following 13 weekly observations on the price of 3M Company shares. Observation 1 2 3 5 6 7 8 9 10 11 12 13 Date Aug 15, 2022 Aug 08, 2022 Aug 01, 2022 Jul 25, 2022 Jul 18, 2022 Jul 11, 2022 Jul 04, 2022 Jun 27, 2022 Jun 20, 2022 Jun 13, 2022 Jun 06, 2022 May 30, 2022 May 23, 2022 Stock Price 145.20 152.24 147.41 143.24 134.12 130.13 128.72 128.49 134.33 129.84 137.65 145.97 149.51 Assuming that the stock follows the lognormal model In (St/So)~ N(ut, o²t) estimate and o using data. Suppose that 8 = 0 and there are 52 weeks in a year. Compute an estimate for the continuously compounded rate of return on the expected value of the stock i.e. an estimate for a.
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To estimate the parameters mu and sigma of the lognormal model for the stock price of 3M Company we ... View the full answer
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