Explain the term NGARCH as of the GARCH’s family.
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NGARCH
vn = (1 - α - β)w0 + βvn-1 + α(Rn-1 - γ√(vn-1))2.
This is same to GARCH (1,1) other than the parameter γ permits correlation among the stock and volatility processes.
Is volatility constant?
Explain Weak-form deficiency in Efficient Markets Hypothesis.
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What will be the effect on riskiness of a portfolio if assets with negative correlations (even very low correlations) are taken together?
How is Value at Risk Used?
Who gave option-pricing ability to the masses?
Where can we get incomplete markets?
Explain different forms of market efficiency.
Define working capital. What is the main advantage to a corporation by investing some of its funds in working capital?
What is calibration in valuation/pricing process?
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