Build a stochastic volatility model for the daily log return of Cisco Systems stock from January…
When the two pharmaceutical companies Upjohn and Pharmacia decided to merge in 2000, a central…
August 8, 2017AKASH PATEL 3917 Breda Court Modesto, California 95356 (209) 345-6065 E-Mail:…
August 8, 2017Build a stochastic volatility model for the daily log return of Cisco Systems stock from January…
Build a stochastic volatility model for the daily log return of Cisco Systems stock from January 1991 to December 1999. You may download the data from the CRSP database or the file d-csco9199.txt. Use the model to obtain a predictive distribution for 1-step ahead volatility forecast at the forecast origin December 1999. Finally, use the predictive distribution to compute the value at risk of a long position worth $1 million with probability 0.01 for the next trading day.
