1 nov 10 22 nov 10 15 dec 10 6 jan 1027 jan 10 19 feb

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Unformatted text preview: n-10 22-Feb-10 16-Mar-106-Apr-10 27-Apr-1018-May-10 9-Jun-1029-Jun-1020-Jul-109-Aug-1030-Aug-10 22-Sep-1013-Oct-10 3-Nov-1024-Nov-10 17-Dec-10 8-Jan-1029-Jan-10 23-Feb-10 17-Mar-107-Apr-10 28-Apr-10 20-May-1011-Jun-10 1-Jul-1021-Jul-10 11-Aug-10 1-Sep-1023-Sep-1014-Oct-10 4-Nov-1026-Nov-1020-Dec-10 11-Jan-101-Feb-10 24-Feb-10 18-Mar-108-Apr-10 29-Apr-10 21-May-1014-Jun-10 2-Jul-1022-Jul-10 12-Aug-10 2-Sep-1024-Sep-1015-Oct-10 5-Nov-1029-Nov-1021-Dec-10 12-Jan-102-Feb-10 25-Feb-10 19-Mar-109-Apr-10 30-Apr-10 24-May-10 16-Jun-10 7-Jul-1026-Jul-1016-Aug-107-Sep-1028-Sep-1019-Oct-108-Nov-1030-Nov-1022-Dec-10 13-Jan-103-Feb-10 26-Feb-10 22-Mar-1013-Apr-10 4-May-1025-May-10 17-Jun-10 8-Jul-1027-Jul-10 17-Aug-108-Sep-1029-Sep-1020-Oct-109-Nov-10 1-Dec-10 23-Dec-10 14-Jan-10 5-Feb-10 1-Mar-10 23-Mar-1014-Apr-10 5-May-1026-May-10 18-Jun-10 9-Jul-1028-Jul-1018-Aug-109-Sep-1030-Sep-1021-Oct-1011-Nov-10 3-Dec-1027-Dec-10 15-Jan-10 8-Feb-10 2-Mar-10 24-Mar-1015-Apr-10 6-May-1027-May-10 21-Jun-1012-Jul-1030-Jul-1020-Aug-1014-Sep-10 5-Oct-1025-Oct-1015-Nov-107-Dec-1029-Dec-10 19-Jan-10 9-Feb-10 3-Mar-10 25-Mar-1016-Apr-10 7-May-1028-May-10 22-Jun-1013-Jul-102-Aug-10 23-Aug-10 15-Sep-10 6-Oct-1026-Oct-1016-Nov-108-Dec-1030-Dec-10 20-Jan-1010-Feb-104-Mar-10 26-Mar-1019-Apr-10 11-May-101-Jun-10 24-Jun-10 21-Jan-1011-Feb-10 5-Mar-10 29-Mar-1020-Apr-10 12-May-102-Jun-10 22-Jan-1012-Feb-10 8-Mar-10 30-Mar-1021-Apr-10 19-May-10 15-Jun-10 6-Jul-1023-Jul-10 13-Aug-10 3-Sep-1027-Sep-1018-Oct-10 10-Nov-102-Dec-10 28-Dec-10 4-Feb-10 16-Feb-10 9-Mar-10 12-Mar-10 12-Apr-10 3-May-10 10-May-10 4-Jun-10 30-Jun-10 10-Jun-10 15-Jul-104-Aug-1025-Aug-1017-Sep-10 8-Oct-1028-Oct-1018-Nov-1013-Dec-10 29-Jul-1019-Aug-10 13-Sep-101-Oct-10 22-Oct-1012-Nov-106-Dec-10 10-Aug-10 31-Aug-10 10-Sep-10 4-Oct-10 29-Oct-1019-Nov-1014-Dec-10 10-Dec-10 Please see below for calculations The initial value is calculated by calculating the last 251 trading days' variance Variance RiskM NGARCH RiskM VaR NGARCH HIST (1,1)-t(d) FHIST 0.00029 0.00028 0.00028 0.00026 0.00025 0.00023 0.00022 0.00021 0.00020 0.00019 0.00018 0.00018 0.00018 0.00017 0.00018 0.00020 0.00019 0.00018 0.00017 0.00017 0.00017 0.00017 0.00017 0.00016 0.00021 0.00020 0.00019 0.00019 0.00018 0.00017 0.00016 0.00017 0.00016 0.00016 0.00015 0.00014 0.00014 0.00014 0.00013 0.00012 0.00012 0.00011 0.00011 0.00010 0.00011 0.00010 0.00009 0.00009 0.00009 0.00008 0.00008 0.00007 0.00007 0.00007 0.00007 0.00006 0.00006 0.00006 0.00006 0.00005 0.00005 0.00005 0.00005 0.00005 0.00005 0.00005 0.00004 0.00004 0.00004 0.00004 0.00004 0.00004 0.00004 0.00005 0.00005 0.00005 0.00005 0.00005 0.00005 0.00005 0.00008 0.00007 0.00008 0.00009 0.00010 0.00013 0.00012 0.00018 0.00018 0.00028 0.00027 0.00026 0.00025 0.00026 0.00025 0.00024 0.00023 0.00031 0.00030 0.00030 0.00028 0.00026 0.00031 0.00030 0.00030 0.00032 0.00031 0.00036 0.00035 0.00034 0.00032 0.00035 0.00033 0.00031 0.00032 0.00030 0.00029 0.00027 0.00025 0.00025 0.00024 0.00024 0.00023 0.00022 0.00026 0.00025 0.00024 0.00022 0.00021 0.00026 0.00025 0.00024 0.00022 0.00022 0.00021 0.00020 0.00024 0.00022 0.00022 0.00022 0.00023 0.00022 0.00022 0.00020 0.00019 0.00018 0.00017 0.00019 0.0001...
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This note was uploaded on 09/13/2013 for the course FINANCE 225 taught by Professor Aureliovasquez during the Winter '13 term at Instituto Tecnológico de Santo Domintgo.

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