What are the difficulties GARCH contained
What are the difficulties GARCH contained?
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These difficulties can be related with:
• having inadequate data• The (log) likelihood function being extremely ‘flat’ regarding the parameters, so thence t the maximum is insensitive to the parameter values• Calculating the wrong model, including having more many parameters (the best model may be simpler than you imagine).
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Explain the formula of hedging contract.
A bank sells a $3,000,000 FRA for a three-month period beginning three months from today and ending six months from today. The purpose of the FRA is to cover the interest rate risk caused by the maturity mismatch from having made a three-month Eurodollar loan and having accepted a six-month Eurodol
The March 2000 Mexican peso futures contract holds a price of $0.11695. You believe the march spot price will be $0.08500. In which speculative location would you enter to try to earn profit from your beliefs? Illustrates your anticipated profits letting yo
State the term dispersion trading?
What is shadow Greeks?
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The discussion of zero-coupon bonds in the text gave an instance of two zero-coupon bonds issued through Commerzbank. The DM300, 000,000 issues due in the year of 1995 sold at 50 percent of face value and the DM300, 000,000 due in the year of 2000 sold a
What is actual volatility? Answer: Actual volatility is the σ that goes in the Black–Scholes partial differential equation.
What are Implications of the normal distribution for Finance?
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