A generic model of assets Returns
3 important questions on A generic model of assets Returns
Explain the jp MOrgan's riskmetrics model for dynamic volatility
Variance(t+1) = 0.94 X variance (t) + 0.06 X return^2. The first day its the hirstorical sample variance
How we calculate a portfolio return from an asset price?
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Give the definition of Value at Risk(VaR)
Loss over next K trading days will exceed VaR with probability p.
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