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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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σn2=λσn−12+(1−λ)μn−12\sigma_n^2 = \lambda \sigma_{n-1}^2 + (1 - \lambda) \mu_{n-1}^2σn2​=λσn−12​+(1−λ)μn−12​ σt=(0.94)(0.015)2+(1−0.94)(30.5−3030)2=0.01510519=1.5105%\sigma_t = \sqrt{(0.94)(0.015)^2 + (1 - 0.94)\left(\frac{30.5 - 30}{30}\right)^2} = 0.01510519 = 1.5105\%σt​=(0.94)(0.015)2+(1−0.94)(3030.5−30​)2​=0.01510519=1.5105%

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