Suppose that the current daily volatilities of assets X , Y and Z are 1.01% ,...

Suppose that the current daily volatilities of assets X , Y and Z are 1.01% , 1.21% and 1.31% ,respectively. The prices of the assets at close of
trading yesterday were $21, $31 and $41. Covariances are cov(X; Y ) = 0:6; cov(X;Z) = 0:8; cov(Y;Z) = 0:9
Correlations and volatilities are updated using RiskMetrics EWMA model.with λ= 0:91. If the prices of
the three, assets at close of trading today are $25 , $35 and $45, forecast the correlation coefficiets for today.

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Rahul Sunny answered 8 months ago

Suppose that the current daily volatilities of assets X , Y and Z are 1.01% ,...

Suppose that the current daily volatilities of assets X , Y and Z are 1.01% , 1.21% and 1.31% ,respectively. The prices of the assets at close of trading yesterday were $21, $31 and $41. Covariances are cov(X; Y ) = 0:6; cov(X;Z) = 0:8; cov(Y;Z) = 0:9 Correlations and volatilities are updated using RiskMetrics EWMA model.with λ= 0:91. If the prices of the three, assets at close of trading today are $25 , $35 and $45, forecast the correlation...

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Suppose that the current daily volatilities of asset A and asset B are 1.65% and 2.32%, respectively. The prices of the assets at close of trading yesterday were $35 and $52 and the estimate of the coefficient of correlation between the returns on the two assets made at that time was 0.26. The parameter λ used in the EWMA model is 0.95. (a) Calculate the current estimate of the covariance between the assets. (b) On the assumption that the prices...

Suppose that the current daily volatilities of asset A and asset B are 1.65% and 2.32%,...

Suppose that the current daily volatilities of asset A and asset B are 1.65% and 2.32%, respectively. The prices of the assets at close of trading yesterday were $35 and $52 and the estimate of the coefficient of correlation between the returns on the two assets made at that time was 0.26. The parameter λ used in the EWMA model is 0.95. (a) Calculate the current estimate of the covariance between the assets. (b) On the assumption that the prices...

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Suppose that the current daily volatilities of assets X , Y and Z are 1.01% ,...

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