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    Speed of Reversion in the GARCH(1, 1) Model.

    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...
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    t-test and p value approach

    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...
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    D. Gray, R. C. Merton and Z. Bodie, “Contingent Claims Approach to Measuring and Managing Sovereign Credit risk"

    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.
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