lsiqueirap
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- Joined
- Sep 28, 2019
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Let Pt be the average price of a stock at the n-th work day of a given month, where [n = 1, ..., 21]. Define for t = 1, ..., 20 Rt = log (Pt+1/Pt)
Suppose that:
(i) R1, ..., R20 are iid
(ii) R1~N(0, sigma2)
In June [r1, ..., r20] where such that r1 2+...+r202 = 0.008
Get an estimator using the method of moments for sigma2
So, since [MATH]\sigma^2 = 1/t\sum_{i}^{t}X_{i}^2 - \mu^2[/MATH], do I just need to do [MATH]\sigma^2 = 0.008/20 - 0?[/MATH]
Suppose that:
(i) R1, ..., R20 are iid
(ii) R1~N(0, sigma2)
In June [r1, ..., r20] where such that r1 2+...+r202 = 0.008
Get an estimator using the method of moments for sigma2
So, since [MATH]\sigma^2 = 1/t\sum_{i}^{t}X_{i}^2 - \mu^2[/MATH], do I just need to do [MATH]\sigma^2 = 0.008/20 - 0?[/MATH]
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