Question

Problem 4.3(15.28 in Hull) Suppose that observations on a stock price (in dollars) at the end of each of 15 consecutive weeks are as follows 30.2, 32.0,31.1, 30.1, 30.2, 30.3, 30.6, 33.0, 32.9, 33.0, 33.5, 33.5, 33.7, 33.5, 33.2. Estimate the stock price volatility. What is the standard error of your esti- mate?

Answer 1

1. 30.2 -.05- 30.05 .१० -1-85- obserwalione period Bewalion __4ug (mean) Berialip squared 3805 -1.85 3.42 32.0 32.05 00.26 31-1 - .१६ 30.1 32.05 _1. 3.80 30120 32.05 3.42 30.3 38.05 - 1.15 3.06 30.6 32.05 -1.45 2.10 33 32.06 .१० 32.१ 32.05 33 32.05 .95 33.5 38.05 1.45 2.10 33.5 38.05 2.10 33.7 32.05 २.२२ 33.5 3206 33,0 32.05 1.32 १ .86- .12 -90 1.65- 2./ 1.45 1.15 to period Average of 8P = 29.81 ID 52.98 Standard deialion = २.१४ 21-22