Search results

Hi David, To summarise what you said, if I have 2 Garch(1, 1) models at hand, the one with the higher gamma will have the speediest reversion to the LR variance. And the other model with a lower gamma will revert slowly to the LR variance. Thank you very much!

Hi David, Could you please elaborate on aspects speed or slow reversion in the GARCH(1, 1) model (variance estimate = omega + alpha*lagged return^2 + beta*lagged variance)? If possible, please, provide few GARCH(1, 1) models with different persistence levels (weights) and show which one...

Hi David, Thanks a lot for your quick answer to this question. I used the Linear Interpolation Method to compute p-values as you advised. Below are the answers I have got even if they are not exactly the same as the ones in the notes. Page 30: using d.f. of 199 and Test t statistic of...

Define and interpret the p value 2011 Quantitative Analysis Study Notes: On page 30, Test t statistic = 2.06 and p value = 4.09%. On page 33, “P/E ratios of 28 NYSE companies” example, Test t statistic = 2.65 and p value = 1.3%. I still can’t figure out the way you computed p values of...

Hi David, This is to bring to your attention that this reading is part of Valuation & Risk Models. But going though the notes I couldn't find it mention anywhere. Is there any reason why this topic is missing on the Study Notes published on 25 March 2011? Thanks in advance! Denis.