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Hi Shakti, Got it! Thanks for your detailed and simply reply - apparently, I was relegating a lot of terms to the exponential power. Jayanthi

Hi Shakti, Thanks for the detailed answer - appreciate it! Although, computing 8.97% is a piece of cake, I am having trouble getting 6% and so on.....I am missing something here.....can you show me the illustration for computing 6% at the start of the tenth day series. Jayanthi

Thanks - appreciate it! I was re-thinking about your question. I will get back to you, if I think differently as I review Diebold. Jayanthi

Hi David, In your question below: 104.3 Assume that instead of an infinite historical window, we want to apply EWMA to only the last ten daily returns (i.e., including T-10 but no further back). What is the weight assigned to the seventh prior daily squared-return if we want the sum of the...

Thank you Nicole for your detailed answer with regards to the details:) I know that it was not necessary to bring up this issue with BT. Nevertheless......thanks for your untiring efforts that make BT such a great Exam Prep Provider! Jayanthi

Hi David, Could you please add some more PQ sets for Diebold, if possible. Thanks! Jayanthi

Congrats Brian:) Great news - so happy for you! Good luck with the preparation for November... Jayanthi

Hi @chanhoke, Thanks - glad to be of help! Figure 4 is just a special case of an autocorrelation function, approaching zero. As you put it, at displacement > 15, the autocorrelation function falls to zero. I guess approaching zero and abruptly falling to zero are all the same, as far as Diebold...

Hi Praveen, Adding my two cents here - all I can decipher and say, is that Copulas and Ch 23 of Hull have Study Notes and PQ sets. The study notes of Ch 23 needs to be updated to include Volatility Term structures (in the AIM Statements) Hope this helps, somewhat! Thanks Jayanthi

Hi David, I wanted to bring to your attention that the GARP FRM Program Manual for 2015 has in its AIM: "Describe the volatility term structure and the impact of volatility changes" for Chapter 23 of Hull This has not been covered in your study notes. Just wanted to let you know... Thanks...

Hi @chanhoke, I will hazard a guess here. As you rightly mention from Diebold's definition, autocorrelation function should: (1) decay with the increase in displacement (2) approach 0 with larger displacement Figure 3 is most definitely not a covariance stationary process because is has a...

Hi Jithu, In addition to the above Practice Questions, you can also look up Pg 144, Chapter 7 - Stock and Watson , Reading 10 in the GARP FRM Book for Quantitative analysis. There is another example on tests of single restrictions involving multiple coefficients, there - thought that would...

Hi David, In the above, I do not understand as to how you derive the autocovariance function: Gamma(tau) = E(y(t),y(t -tau) = E((epsilon(t) + theta*epsilon(t-1)*(epsilon(t - tau) + theta*epsilon(t-tau-1)) = theta*sigma(square), tau =1, 0 - otherwise - how do you get theta*sigma(square)...

Hi Shakti, This year's AIMs are contained in the FRM Program Manual 2015. Yes, the Akaike and Schwarz Information Criteria are both mentioned in the AIMs. Thanks! Jayanthi

Hi David, Is it necessary to memorize Akaike Information criteria and Schwarz Information Criteria for purposes of the exam? Thanks! Jayanthi

Thanks, Nicole - appreciate it:) Jayanthi

Hi David, I notice that while there are Study Notes encompassing Diebold, Chapters 5, 7 and 8, there are no corresponding PQ sets. Does that mean that this material is not that relevant or that you are working towards producing a PQ set...Please let me know:) Thanks! Jayanthi

Hi David, In the following: Unrestricted regression: TestScore = 649.6 - 0.29 x STR + 3.87 x Expn - 0.656 x PctEl (10.6) R^2 unrestricted = 0.4366 Restricted regression, estimated by OLS is. Test Score = 664.7 - 0.671 x PctEL, R^2 = 0.4149...

Hi David/Nicole, With reference to the above, I must respectfully add that there is a typo: F = 1/2((t1^2 + t2^2 - 2*rho*t1,t2*t1*t2)/(1 - 2*rhot1,t2)) Instead it should be, F = 1/2((t1^2 + t2^2 - 2*rho*t1,t2*t1*t2)/(1 - rho^2*t1,t2)) Thanks:) Jayanthi

Hi David/Nicole, Respectfully, I must add the following typos, that I want to bring to your attention (red to be replaced by R^2) 5.A. False, we cannot conclude the added variable is significant. Stock & Watson (summary) "There are four potential pitfalls to guard against when using the R^2...