so that the new daily volatility is 0002115 001454 or 1454 per day Using GARCH

So that the new daily volatility is 0002115 001454 or

This preview shows page 5 - 6 out of 6 pages.

11.18.(Spreadsheet Provided)Create an Excel spreadsheet to produce a chart similar to Figure 11.5 showing samples from a bivariate Student’s t-distribution with four degrees of freedom where the correlation is 0.5. Next suppose that the marginal distributions of V1 and V2 are Student’s t with four degrees of freedom but that a Gaussian copula with a copula correlation parameter of 0.5 is used to define the correlation between the two variables. Construct a chart showing samples from the joint distribution. Compare the two charts you have produced.
Image of page 5
Image of page 6

  • Left Quote Icon

    Student Picture

  • Left Quote Icon

    Student Picture

  • Left Quote Icon

    Student Picture