Question

1. Using the following data set of the daily values of an asset estimate the rate of return of the asset and its volatility.

2. Then predict the asset value with 95% probability on the 59^th trading day. (delta T is 10)

3. What is the expected value of the asset a year after Day 1 (this is the day when the price data set starts). (just annualize the volatility)

If you want to manipulate data set easily then copy the data set below. You can save it as a single column CSV file and then you can import to R or to Matlab.

100
100.05
100.67
101.32
100.86
101.5
102.82
103.94
104.5
103.52
103.34
104.17
103.64
106.68
107.03
107.46
106.81
107.69
106.71
106.66
106.68
107.07
107.86
107.5
109.51
109.71
108.25
107.09
107.34
105.81
105.36
103.51
102.59
101.3
101.3
101.4
103
103.99
103.87
102.48
103.3
102.75
103.96
105.61
105.21
103.42
102.77
103.62
103.43

Answer 1