GARCH Example

88
1 3 Refine the "best" values for a1 and b1 obtained in step #2 by entering these here and here then click the button: Quick& Dirty Maximum Maybe you'll get better values You can also move the 100-day window by clicking here 4 The values are incremented / decremented by the values shown here 5 6 The probability of the observed values for e(k) being in 1% intervals is given by a chart which looks like this This colour shows what you selected in step #5 Enter an End Date and a Stock symbol then click the Download Data button to get eight years of daily prices (from Yahoo). Example : a1=0.0825, b1=0.9000 You can increment the a0, a1 and b1 values by clicking the appropriate UP and DN b You may choose either e(k) = log( P(k) / P(k-1)) or e(k) = r(k) - r(k-1) by clicking one of these buttons

description

GARCH Example

Transcript of GARCH Example

Page 1: GARCH Example

1

3Refine the "best" values fora1 and b1 obtained in step #2

by entering these hereand herethen click the button:Quick& Dirty MaximumMaybe you'll get better values

You can also move the 100-day window by clicking here

4

The values are incremented / decremented by the values shown here

5

6The probability of the observed values for e(k) beingin 1% intervals is given by a chartwhich looks like this This colour shows

what you selectedin step #5

Enter an End Date and a Stock symbolthen click the Download Data buttonto get eight years of daily prices (from Yahoo).

Example: a1=0.0825, b1=0.9000

You can increment the a0, a1 and b1 values by clicking the appropriate UP and DN buttons.

You may choose either e(k) = log( P(k) / P(k-1))or e(k) = r(k) - r(k-1) by clicking one of these buttons

Page 2: GARCH Example

2Enter an a1 value … and an a-incrementEnter a b1 value… and a b-increment

to get a plot over the range a1 +/- increment to b1 +/- increment

In this example, the range is

The Max Likelihood

Then click the PLOT button

0.07 < a1 < 0.09 and 0.85 < b1 < 0.95

estimate is give here

Page 3: GARCH Example

data from / to Jan 14/97 Jan 13/05 ao = 0.000003 UP/ DN

Start Date: Apr 19/15 a1 = 0.0985 UP/ DN

End Date: Apr 19/23 d b1 = 0.8910 UP/ DN

Stock: ^SPX a1+b1? 0.9895

Move 100-day >> 606.0000

Window

Index Date Open High Low Close Volume Adj. Close*

0 Jan 14/97 759.51 772.04 759.51 768.86 5,316,000 768.86

1 Jan 15/97 768.86 770.95 763.72 767.20 5,249,900 767.20

2 Jan 16/97 767.20 772.05 765.25 769.75 5,372,900 769.75

3 Jan 17/97 769.75 776.37 769.72 776.17 5,346,400 776.17

4 Jan 20/97 776.17 780.08 774.19 776.70 4,404,700 776.70

5 Jan 21/97 776.70 783.72 772.00 782.72 5,712,800 782.72

6 Jan 22/97 782.72 786.23 779.56 786.23 5,892,300 786.23

7 Jan 23/97 786.23 794.67 776.64 777.56 6,850,700 777.56

8 Jan 24/97 777.56 778.21 768.17 770.52 5,429,200 770.52

9 Jan 27/97 770.52 771.43 764.18 765.02 4,457,600 765.02

10 Jan 28/97 765.02 776.32 761.75 765.02 5,415,800 765.02

11 Jan 29/97 765.02 772.70 765.02 772.50 4,983,900 772.50

12 Jan 30/97 772.50 784.17 772.50 784.17 5,241,600 784.17

13 Jan 31/97 784.17 791.86 784.17 786.16 5,785,500 786.16

14 Feb 3/97 786.16 787.14 783.12 786.73 4,636,000 786.73

15 Feb 4/97 786.73 789.28 783.68 789.26 5,065,300 789.26

16 Feb 5/97 789.26 792.71 773.43 778.28 5,805,200 778.28

17 Feb 6/97 778.28 780.35 774.45 780.15 5,196,600 780.15

18 Feb 7/97 780.15 789.72 778.19 789.56 5,409,100 789.56

19 Feb 10/97 789.56 793.46 784.69 785.43 4,715,900 785.43

20 Feb 11/97 785.43 789.60 780.95 789.59 4,830,900 789.59

21 Feb 12/97 789.59 802.77 789.59 802.77 5,638,900 802.77

22 Feb 13/97 802.77 812.93 802.77 811.82 5,937,100 811.82

23 Feb 14/97 811.82 812.20 808.15 808.48 4,915,400 808.48

24 Feb 18/97 808.48 816.29 806.34 816.29 4,741,100 816.29

25 Feb 19/97 816.29 817.68 811.20 812.49 5,193,500 812.49

26 Feb 20/97 812.49 812.49 800.35 802.80 4,922,200 802.80

27 Feb 21/97 802.80 804.94 799.99 801.77 4,784,500 801.77

28 Feb 24/97 801.77 810.64 798.42 810.28 4,624,500 810.28

29 Feb 25/97 810.28 812.85 807.65 812.03 5,274,500 812.03

30 Feb 26/97 812.10 812.70 798.13 805.68 5,739,200 805.68

31 Feb 27/97 805.68 805.68 795.06 795.07 4,646,600 795.07

32 Feb 28/97 795.07 795.70 788.50 790.82 5,082,800 790.82

33 Mar 3/97 790.82 795.31 785.66 795.31 4,372,200 795.31

34 Mar 4/97 795.31 798.93 789.98 790.95 5,378,900 790.95

35 Mar 5/97 790.95 801.99 790.95 801.99 5,325,000 801.99

36 Mar 6/97 801.99 804.11 797.50 798.56 5,403,100 798.56

37 Mar 7/97 798.56 808.19 798.56 804.97 5,082,700 804.97

38 Mar 10/97 804.97 813.66 803.66 813.65 4,687,800 813.65

39 Mar 11/97 813.65 814.90 810.77 811.34 4,932,500 811.34

40 Mar 12/97 811.34 811.34 801.07 804.26 4,902,000 804.26

41 Mar 13/97 804.26 804.26 789.44 789.56 5,075,600 789.56

42 Mar 14/97 789.56 796.88 789.56 793.17 4,915,400 793.17

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0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%Standard Deviations : 10-day MA s(k)

Actual 10-day MA Standard Deviation

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%Daily Returns

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a1

SUM[log(L)]

b1

SUM[log(L)] vs (a1,b1) for a0 = 0.000004

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%Jun 9/99 - Nov 1/99 100 market-day window

Page 4: GARCH Example

43 Mar 17/97 793.17 796.28 782.98 795.71 4,952,600 795.71

44 Mar 18/97 795.71 797.18 785.47 789.66 4,673,300 789.66

45 Mar 19/97 789.66 791.59 780.03 785.77 5,355,800 785.77

46 Mar 20/97 785.77 786.29 778.04 782.65 4,974,800 782.65

47 Mar 21/97 782.65 786.44 782.65 784.10 6,387,600 784.10

48 Mar 24/97 784.10 791.01 780.79 790.89 4,519,700 790.89

49 Mar 25/97 790.89 798.11 788.39 789.07 4,875,200 789.07

50 Mar 26/97 789.07 794.89 786.77 790.50 5,066,700 790.50

51 Mar 27/97 790.50 792.58 767.32 773.88 4,767,900 773.88

52 Mar 31/97 773.88 773.88 756.13 757.12 5,558,800 757.12

53 Apr 1/97 757.12 761.49 751.26 759.64 5,157,700 759.64

54 Apr 2/97 759.64 759.65 747.59 750.11 4,782,100 750.11

55 Apr 3/97 750.11 751.04 744.40 750.32 4,980,100 750.32

56 Apr 4/97 750.32 757.90 744.04 757.90 5,445,800 757.90

57 Apr 7/97 757.90 764.82 757.90 762.13 4,537,900 762.13

58 Apr 8/97 762.13 766.25 758.36 766.12 4,507,900 766.12

59 Apr 9/97 766.12 769.53 759.15 760.60 4,515,000 760.60

60 Apr 10/97 760.60 763.73 757.65 758.34 4,217,900 758.34

61 Apr 11/97 758.34 758.34 737.64 737.65 4,443,800 737.65

62 Apr 14/97 737.65 743.73 733.54 743.73 4,068,000 743.73

63 Apr 15/97 743.73 754.72 743.73 754.72 5,073,700 754.72

64 Apr 16/97 754.72 763.53 751.99 763.53 4,988,200 763.53

65 Apr 17/97 763.53 768.55 760.49 761.77 5,037,600 761.77

66 Apr 18/97 761.77 767.93 761.77 766.34 4,689,400 766.34

67 Apr 21/97 766.34 767.39 756.38 760.37 3,973,000 760.37

68 Apr 22/97 760.37 774.64 759.90 774.61 5,075,000 774.61

69 Apr 23/97 774.61 778.19 771.90 773.64 4,893,500 773.64

70 Apr 24/97 773.64 779.89 769.72 771.18 4,936,400 771.18

71 Apr 25/97 771.18 771.18 764.63 765.37 4,143,500 765.37

72 Apr 28/97 765.37 773.89 763.30 772.96 4,044,700 772.96

73 Apr 29/97 772.96 794.44 772.96 794.05 5,476,900 794.05

74 Apr 30/97 794.05 804.13 791.21 801.34 5,560,700 801.34

75 May 1/97 801.34 802.95 793.21 798.53 4,603,800 798.53

76 May 2/97 798.53 812.99 798.53 812.97 4,997,700 812.97

77 May 5/97 812.97 830.29 811.80 830.29 5,494,100 830.29

78 May 6/97 830.24 832.29 824.70 827.76 6,036,800 827.76

79 May 7/97 827.76 827.76 814.70 815.62 5,005,800 815.62

80 May 8/97 815.62 829.09 811.84 820.26 5,341,200 820.26

81 May 9/97 820.26 827.69 815.78 824.78 4,556,900 824.78

82 May 12/97 824.78 838.56 824.78 837.66 4,593,700 837.66

83 May 13/97 837.66 838.49 829.12 833.13 4,897,600 833.13

84 May 14/97 833.13 841.29 833.13 836.04 5,049,600 836.04

85 May 15/97 836.04 842.45 833.34 841.88 4,581,700 841.88

86 May 16/97 841.88 841.88 829.15 829.75 4,867,800 829.75

87 May 19/97 829.75 835.92 828.87 833.27 3,451,400 833.27

88 May 20/97 833.27 841.96 826.41 841.66 4,508,500 841.66

89 May 21/97 841.66 846.87 835.22 839.35 5,407,300 839.35

90 May 22/97 839.35 841.91 833.86 835.66 4,269,400 835.66

91 May 23/97 835.66 848.49 835.66 847.03 4,170,300 847.03

92 May 27/97 847.03 851.53 840.96 849.71 4,361,500 849.71

93 May 28/97 849.71 850.95 843.21 847.21 4,873,400 847.21

Page 5: GARCH Example

94 May 29/97 847.21 848.96 842.61 844.08 4,626,000 844.08

95 May 30/97 844.08 851.87 831.87 848.28 5,372,000 848.28

96 Jun 2/97 848.28 851.34 844.61 846.36 4,359,500 846.36

97 Jun 3/97 846.36 850.56 841.51 845.48 5,271,200 845.48

98 Jun 4/97 845.48 845.55 838.82 840.11 4,666,900 840.11

99 Jun 5/97 840.11 848.89 840.11 843.43 4,526,100 843.43

100 Jun 6/97 843.43 859.24 843.36 858.01 4,889,400 858.01

101 Jun 9/97 858.01 865.14 858.01 862.91 4,658,100 862.91

102 Jun 10/97 862.91 870.05 862.18 865.27 5,269,800 865.27

103 Jun 11/97 865.27 870.66 865.15 869.57 5,137,400 869.57

104 Jun 12/97 869.57 884.34 869.01 883.46 5,927,300 883.46

105 Jun 13/97 883.48 894.69 883.48 893.27 5,758,100 893.27

106 Jun 16/97 893.27 895.17 891.21 893.90 4,142,800 893.90

107 Jun 17/97 893.90 897.60 886.19 894.42 5,430,100 894.42

108 Jun 18/97 894.42 894.42 887.03 889.06 4,917,400 889.06

109 Jun 19/97 889.06 900.09 888.99 897.99 5,369,400 897.99

110 Jun 20/97 897.99 901.77 897.77 898.70 6,531,100 898.70

111 Jun 23/97 898.70 898.70 878.43 878.62 4,929,400 878.62

112 Jun 24/97 878.62 896.75 878.62 896.34 5,426,500 896.34

113 Jun 25/97 896.34 902.09 882.24 888.99 6,030,400 888.99

114 Jun 26/97 888.99 893.21 879.32 883.68 4,997,800 883.68

115 Jun 27/97 883.68 894.70 883.68 887.30 4,725,400 887.30

116 Jun 30/97 887.30 892.62 879.82 885.14 5,615,400 885.14

117 Jul 1/97 885.14 893.88 884.54 891.03 5,441,900 891.03

118 Jul 2/97 891.03 904.05 891.03 904.03 5,269,700 904.03

119 Jul 3/97 904.03 917.82 904.03 916.92 3,746,800 916.92

120 Jul 7/97 916.92 923.26 909.69 912.20 5,187,800 912.20

121 Jul 8/97 912.20 918.76 911.56 918.75 5,260,100 918.75

122 Jul 9/97 918.75 922.03 902.48 907.54 5,891,100 907.54

123 Jul 10/97 907.54 916.54 904.31 913.78 5,513,400 913.78

124 Jul 11/97 913.78 919.74 913.11 916.68 5,000,500 916.68

125 Jul 14/97 916.68 921.78 912.02 918.38 4,859,600 918.38

126 Jul 15/97 918.38 926.15 914.52 925.76 5,983,700 925.76

127 Jul 16/97 925.76 939.32 925.76 936.59 6,473,900 936.59

128 Jul 17/97 936.59 936.96 927.90 931.61 6,292,500 931.61

129 Jul 18/97 931.61 931.61 912.90 915.30 5,897,100 915.30

130 Jul 21/97 915.30 915.38 907.12 912.94 4,595,000 912.94

131 Jul 22/97 912.94 934.38 912.94 933.98 5,795,900 933.98

132 Jul 23/97 933.98 941.80 933.98 936.56 6,169,300 936.56

133 Jul 24/97 936.56 941.51 926.91 940.30 5,710,200 940.30

134 Jul 25/97 940.30 945.65 936.09 938.79 5,215,100 938.79

135 Jul 28/97 938.79 942.97 935.19 936.45 4,669,200 936.45

136 Jul 29/97 936.45 942.96 932.56 942.29 5,445,400 942.29

137 Jul 30/97 942.29 953.98 941.98 952.29 5,684,700 952.29

138 Jul 31/97 952.29 957.73 948.89 954.31 5,478,300 954.31

139 Aug 1/97 954.29 955.35 939.04 947.14 5,137,500 947.14

140 Aug 4/97 947.14 953.18 943.60 950.30 4,560,000 950.30

141 Aug 5/97 950.30 954.21 948.92 952.37 5,257,100 952.37

142 Aug 6/97 952.37 962.43 949.45 960.32 5,652,000 960.32

143 Aug 7/97 960.32 964.17 950.87 951.19 5,760,300 951.19

144 Aug 8/97 951.19 951.19 925.74 933.54 5,634,200 933.54

Page 6: GARCH Example

145 Aug 11/97 933.54 938.50 925.39 937.00 4,803,400 937.00

146 Aug 12/97 937.00 942.99 925.66 926.53 4,993,100 926.53

147 Aug 13/97 926.53 935.77 916.54 922.02 5,872,100 922.02

148 Aug 14/97 922.02 930.07 916.92 924.77 5,304,600 924.77

149 Aug 15/97 924.77 924.77 900.81 900.81 5,378,200 900.81

150 Aug 18/97 900.81 912.57 893.34 912.49 5,143,300 912.49

151 Aug 19/97 912.49 926.01 912.49 926.01 5,456,300 926.01

152 Aug 20/97 926.01 939.35 924.58 939.35 5,212,700 939.35

153 Aug 21/97 939.35 939.47 921.35 925.05 4,990,000 925.05

154 Aug 22/97 925.05 925.05 905.42 923.54 4,601,600 923.54

155 Aug 25/97 923.55 930.93 917.29 920.16 3,889,900 920.16

156 Aug 26/97 920.16 922.47 911.72 913.02 4,491,100 913.02

157 Aug 27/97 913.02 916.23 903.83 913.70 4,921,500 913.70

158 Aug 28/97 913.70 915.90 898.65 903.67 4,863,000 903.67

159 Aug 29/97 903.67 907.28 896.82 899.47 4,139,100 899.47

160 Sep 2/97 899.47 927.58 899.47 927.58 4,918,700 927.58

161 Sep 3/97 927.58 935.90 926.87 927.86 5,490,600 927.86

162 Sep 4/97 927.86 933.36 925.59 930.87 5,593,100 930.87

163 Sep 5/97 930.87 940.37 924.05 929.05 5,364,000 929.05

164 Sep 8/97 929.05 936.50 929.05 931.20 4,664,300 931.20

165 Sep 9/97 931.20 938.90 927.28 933.62 5,022,000 933.62

166 Sep 10/97 933.62 933.62 918.76 919.03 5,176,200 919.03

167 Sep 11/97 919.03 919.03 902.56 912.59 5,750,200 912.59

168 Sep 12/97 912.59 925.05 906.70 923.91 5,441,500 923.91

169 Sep 15/97 923.91 928.90 919.41 919.77 4,680,300 919.77

170 Sep 16/97 919.77 947.66 919.77 945.64 6,363,800 945.64

171 Sep 17/97 945.64 950.29 941.99 943.00 5,905,500 943.00

172 Sep 18/97 943.00 958.19 943.00 947.29 5,668,300 947.29

173 Sep 19/97 947.29 952.35 943.90 950.51 6,310,400 950.51

174 Sep 22/97 950.51 960.59 950.51 955.43 4,909,000 955.43

175 Sep 23/97 955.43 955.78 948.07 951.93 5,229,300 951.93

176 Sep 24/97 951.93 959.78 944.07 944.48 6,394,600 944.48

177 Sep 25/97 944.48 947.00 937.38 937.91 5,248,800 937.91

178 Sep 26/97 937.91 946.44 937.91 945.22 5,053,400 945.22

179 Sep 29/97 945.22 953.96 941.94 953.34 4,771,000 953.34

180 Sep 30/97 953.34 955.17 947.28 947.28 5,875,000 947.28

181 Oct 1/97 947.28 956.71 947.28 955.41 5,986,600 955.41

182 Oct 2/97 955.41 960.46 952.94 960.46 4,747,600 960.46

183 Oct 3/97 960.46 975.47 955.13 965.03 6,233,700 965.03

184 Oct 6/97 965.03 974.16 965.03 972.69 4,956,200 972.69

185 Oct 7/97 972.69 983.12 971.95 983.12 5,519,700 983.12

186 Oct 8/97 983.12 983.12 968.65 973.84 5,731,100 973.84

187 Oct 9/97 973.84 974.72 963.34 970.62 5,518,400 970.62

188 Oct 10/97 970.62 970.62 963.42 966.98 5,006,800 966.98

189 Oct 13/97 966.98 973.46 966.95 968.10 3,548,000 968.10

190 Oct 14/97 968.10 972.86 961.87 970.28 5,103,300 970.28

191 Oct 15/97 970.28 970.28 962.75 965.72 5,053,100 965.72

192 Oct 16/97 965.72 973.38 950.77 955.25 5,970,100 955.25

193 Oct 17/97 955.23 955.23 931.58 944.16 6,249,800 944.16

194 Oct 20/97 944.16 955.72 941.43 955.61 4,838,800 955.61

195 Oct 21/97 955.61 972.56 955.61 972.28 5,823,100 972.28

Page 7: GARCH Example

196 Oct 22/97 972.28 972.61 965.66 968.49 6,134,900 968.49

197 Oct 23/97 968.49 968.49 944.16 950.69 6,732,700 950.69

198 Oct 24/97 950.69 960.04 937.55 941.64 6,776,300 941.64

199 Oct 27/97 941.64 941.64 876.73 876.99 6,937,300 876.99

200 Oct 28/97 876.99 923.09 855.27 921.85 12,025,500 921.85

201 Oct 29/97 921.85 935.24 913.88 919.16 7,776,600 919.16

202 Oct 30/97 919.16 923.28 903.68 903.68 7,122,300 903.68

203 Oct 31/97 903.68 919.93 903.68 914.62 6,380,700 914.62

204 Nov 3/97 914.62 939.02 914.62 938.99 5,647,400 938.99

205 Nov 4/97 938.99 941.40 932.66 940.76 5,415,900 940.76

206 Nov 5/97 940.76 949.62 938.16 942.76 5,656,800 942.76

207 Nov 6/97 942.76 942.85 934.16 938.03 5,228,900 938.03

208 Nov 7/97 938.03 938.03 915.39 927.51 5,699,800 927.51

209 Nov 10/97 927.51 935.90 920.26 921.13 4,641,400 921.13

210 Nov 11/97 921.13 928.29 919.63 923.78 4,356,600 923.78

211 Nov 12/97 923.78 923.88 905.34 905.96 5,853,400 905.96

212 Nov 13/97 905.96 917.79 900.61 916.66 6,539,600 916.66

213 Nov 14/97 916.66 930.44 915.34 928.35 6,357,600 928.35

214 Nov 17/97 928.35 949.66 928.35 946.20 5,765,400 946.20

215 Nov 18/97 946.20 947.65 937.43 938.23 5,213,800 938.23

216 Nov 19/97 938.23 947.28 934.83 944.59 5,427,200 944.59

217 Nov 20/97 944.59 961.83 944.59 958.98 6,026,100 958.98

218 Nov 21/97 958.98 964.55 954.60 963.09 6,110,000 963.09

219 Nov 24/97 963.09 963.09 945.22 946.67 5,149,200 946.67

220 Nov 25/97 946.67 954.47 944.71 950.82 5,878,900 950.82

221 Nov 26/97 950.82 956.47 950.82 951.64 4,877,500 951.64

222 Nov 28/97 951.64 959.13 951.64 955.40 1,890,700 955.40

223 Dec 1/97 955.40 974.77 955.40 974.77 5,903,000 974.77

224 Dec 2/97 974.78 976.20 969.83 971.68 5,761,200 971.68

225 Dec 3/97 971.68 980.81 966.16 976.77 6,246,100 976.77

226 Dec 4/97 976.77 983.36 971.37 973.10 6,334,700 973.10

227 Dec 5/97 973.10 986.25 969.10 983.79 5,635,900 983.79

228 Dec 8/97 983.79 985.67 979.57 982.37 4,903,200 982.37

229 Dec 9/97 982.37 982.37 973.81 975.78 5,391,300 975.78

230 Dec 10/97 975.78 975.78 962.68 969.79 6,022,900 969.79

231 Dec 11/97 969.79 969.79 951.89 954.94 6,317,700 954.94

232 Dec 12/97 954.94 961.32 947.00 953.39 5,792,800 953.39

233 Dec 15/97 953.39 965.96 953.39 963.39 5,971,500 963.39

234 Dec 16/97 963.39 973.00 963.39 968.04 6,233,200 968.04

235 Dec 17/97 968.04 974.30 964.25 965.54 6,189,000 965.54

236 Dec 18/97 965.54 965.54 950.55 955.30 6,188,700 955.30

237 Dec 19/97 955.30 955.30 924.92 946.78 7,932,000 946.78

238 Dec 22/97 946.78 956.73 946.25 953.70 5,306,700 953.70

239 Dec 23/97 953.70 954.51 938.91 939.13 5,150,700 939.13

240 Dec 24/97 939.13 942.88 932.70 932.70 2,659,800 932.70

241 Dec 26/97 932.70 939.99 932.70 936.46 1,549,000 936.46

242 Dec 29/97 936.46 953.95 936.46 953.35 4,431,600 953.35

243 Dec 30/97 953.35 970.84 953.35 970.84 4,995,000 970.84

244 Dec 31/97 970.84 975.02 967.41 970.43 4,672,800 970.43

245 Jan 2/98 970.43 975.04 965.73 975.04 3,667,300 975.04

246 Jan 5/98 975.04 982.63 969.00 977.07 6,280,700 977.07

Page 8: GARCH Example

247 Jan 6/98 977.07 977.07 962.68 966.58 6,183,600 966.58

248 Jan 7/98 966.58 966.58 952.67 964.00 6,673,900 964.00

249 Jan 8/98 964.00 964.00 955.04 956.05 6,521,400 956.05

250 Jan 9/98 956.05 956.05 921.72 927.69 7,464,200 927.69

251 Jan 12/98 927.69 939.25 912.83 939.21 7,054,500 939.21

252 Jan 13/98 939.21 952.14 939.21 952.12 6,467,400 952.12

253 Jan 14/98 952.12 958.12 948.00 957.94 6,032,800 957.94

254 Jan 15/98 957.94 957.94 950.27 950.73 5,690,500 950.73

255 Jan 16/98 950.73 965.12 950.73 961.51 6,700,800 961.51

256 Jan 20/98 961.51 978.60 961.48 978.60 6,447,900 978.60

257 Jan 21/98 978.60 978.60 963.29 970.81 6,261,600 970.81

258 Jan 22/98 970.81 970.81 959.49 963.04 6,465,700 963.04

259 Jan 23/98 963.04 966.44 950.86 957.59 6,357,700 957.59

260 Jan 26/98 957.59 963.04 954.24 956.95 5,550,800 956.95

261 Jan 27/98 956.95 973.23 956.26 969.02 6,791,400 969.02

262 Jan 28/98 969.02 978.63 969.02 977.46 7,084,700 977.46

263 Jan 29/98 977.46 992.65 975.21 985.49 7,507,600 985.49

264 Jan 30/98 985.49 987.41 979.63 980.28 6,133,800 980.28

265 Feb 2/98 980.28 1002.48 980.28 1001.27 7,243,200 1001.27

266 Feb 3/98 1001.27 1006.13 996.90 1006.00 6,921,200 1006.00

267 Feb 4/98 1006.00 1009.52 999.43 1006.90 6,954,200 1006.90

268 Feb 5/98 1006.90 1013.51 1000.27 1003.54 7,039,800 1003.54

269 Feb 6/98 1003.54 1013.07 1003.36 1012.46 5,696,500 1012.46

270 Feb 9/98 1012.46 1015.33 1006.28 1010.74 5,248,100 1010.74

271 Feb 10/98 1010.74 1022.15 1010.71 1019.01 6,428,000 1019.01

272 Feb 11/98 1019.01 1020.71 1016.38 1020.01 5,993,000 1020.01

273 Feb 12/98 1020.01 1026.30 1008.55 1024.14 6,114,800 1024.14

274 Feb 13/98 1024.14 1024.14 1017.71 1020.09 5,319,400 1020.09

275 Feb 17/98 1020.09 1028.02 1020.09 1022.76 6,058,900 1022.76

276 Feb 18/98 1022.76 1032.08 1021.70 1032.08 6,060,000 1032.08

277 Feb 19/98 1032.08 1032.93 1026.62 1028.28 5,818,200 1028.28

278 Feb 20/98 1028.28 1034.21 1022.69 1034.21 5,943,000 1034.21

279 Feb 23/98 1034.21 1038.68 1031.76 1038.14 5,507,300 1038.14

280 Feb 24/98 1038.14 1038.73 1028.89 1030.56 5,898,800 1030.56

281 Feb 25/98 1030.56 1045.79 1030.56 1042.90 6,113,500 1042.90

282 Feb 26/98 1042.90 1048.68 1039.85 1048.67 6,462,800 1048.67

283 Feb 27/98 1048.67 1051.66 1044.40 1049.34 5,744,800 1049.34

284 Mar 2/98 1049.34 1053.98 1044.70 1047.70 5,914,700 1047.70

285 Mar 3/98 1047.70 1052.02 1043.41 1052.02 6,123,600 1052.02

286 Mar 4/98 1052.02 1052.02 1042.74 1047.33 6,442,800 1047.33

287 Mar 5/98 1047.33 1047.33 1030.87 1035.05 6,482,700 1035.05

288 Mar 6/98 1035.05 1055.69 1035.05 1055.69 6,655,000 1055.69

289 Mar 9/98 1055.69 1058.55 1050.02 1052.31 6,247,000 1052.31

290 Mar 10/98 1052.31 1064.59 1052.31 1064.25 6,319,200 1064.25

291 Mar 11/98 1064.25 1069.18 1064.22 1068.47 6,552,600 1068.47

292 Mar 12/98 1068.47 1071.87 1063.54 1069.92 5,949,400 1069.92

293 Mar 13/98 1069.92 1075.86 1066.57 1068.61 5,978,000 1068.61

294 Mar 16/98 1068.61 1079.46 1068.61 1079.27 5,489,800 1079.27

295 Mar 17/98 1079.27 1080.52 1073.29 1080.45 6,809,600 1080.45

296 Mar 18/98 1080.45 1085.52 1077.77 1085.52 6,326,900 1085.52

297 Mar 19/98 1085.52 1089.74 1084.30 1089.74 5,982,400 1089.74

Page 9: GARCH Example

298 Mar 20/98 1089.74 1101.04 1089.39 1099.16 7,173,100 1099.16

299 Mar 23/98 1099.16 1101.16 1094.25 1095.55 6,313,500 1095.55

300 Mar 24/98 1095.55 1106.75 1095.55 1105.65 6,057,200 1105.65

301 Mar 25/98 1105.65 1113.07 1092.84 1101.93 6,765,500 1101.93

302 Mar 26/98 1101.93 1106.28 1097.00 1100.80 6,067,700 1100.80

303 Mar 27/98 1100.80 1107.18 1091.14 1095.44 5,821,900 1095.44

304 Mar 30/98 1095.44 1099.10 1090.02 1093.60 4,974,000 1093.60

305 Mar 31/98 1093.55 1110.13 1093.55 1101.75 6,749,300 1101.75

306 Apr 1/98 1101.75 1109.19 1095.29 1108.15 6,773,100 1108.15

307 Apr 2/98 1108.15 1121.01 1107.89 1120.01 6,743,400 1120.01

308 Apr 3/98 1120.01 1126.36 1118.12 1122.70 6,538,800 1122.70

309 Apr 6/98 1122.70 1131.99 1121.37 1121.38 6,258,100 1121.38

310 Apr 7/98 1121.38 1121.38 1102.44 1109.55 6,707,600 1109.55

311 Apr 8/98 1109.55 1111.60 1098.21 1101.65 6,163,300 1101.65

312 Apr 9/98 1101.65 1111.45 1101.65 1110.67 5,489,400 1110.67

313 Apr 13/98 1110.67 1110.75 1100.60 1109.69 5,644,800 1109.69

314 Apr 14/98 1109.69 1115.95 1109.48 1115.75 6,137,300 1115.75

315 Apr 15/98 1115.75 1119.90 1112.24 1119.32 6,850,200 1119.32

316 Apr 16/98 1119.32 1119.32 1105.27 1108.17 6,995,700 1108.17

317 Apr 17/98 1108.17 1122.72 1104.95 1122.72 6,722,900 1122.72

318 Apr 20/98 1122.72 1124.88 1118.43 1123.65 5,951,900 1123.65

319 Apr 21/98 1123.65 1129.65 1119.54 1126.67 6,756,400 1126.67

320 Apr 22/98 1126.67 1132.98 1126.29 1130.54 6,967,400 1130.54

321 Apr 23/98 1130.54 1130.54 1117.49 1119.58 6,531,900 1119.58

322 Apr 24/98 1119.58 1122.81 1104.77 1107.90 6,338,900 1107.90

323 Apr 27/98 1107.90 1107.90 1076.70 1086.54 6,859,600 1086.54

324 Apr 28/98 1086.54 1095.94 1081.49 1085.11 6,786,000 1085.11

325 Apr 29/98 1085.11 1098.24 1084.65 1094.62 6,387,900 1094.62

326 Apr 30/98 1094.63 1116.97 1094.63 1111.75 6,956,000 1111.75

327 May 1/98 1111.75 1121.02 1111.75 1121.00 5,819,700 1121.00

328 May 4/98 1121.00 1130.52 1121.00 1122.07 5,517,000 1122.07

329 May 5/98 1122.07 1122.07 1111.16 1115.50 5,836,300 1115.50

330 May 6/98 1115.50 1118.39 1104.64 1104.92 6,065,400 1104.92

331 May 7/98 1104.92 1105.58 1094.59 1095.14 5,822,400 1095.14

332 May 8/98 1095.14 1111.42 1094.53 1108.14 5,678,900 1108.14

333 May 11/98 1108.14 1119.13 1103.72 1106.64 5,608,400 1106.64

334 May 12/98 1106.64 1115.96 1102.78 1115.79 6,044,200 1115.79

335 May 13/98 1115.79 1122.22 1114.93 1118.86 6,000,100 1118.86

336 May 14/98 1118.86 1124.03 1112.43 1117.37 5,783,800 1117.37

337 May 15/98 1117.37 1118.66 1107.11 1108.73 6,219,900 1108.73

338 May 18/98 1108.73 1112.44 1097.99 1105.82 5,191,000 1105.82

339 May 19/98 1105.82 1113.50 1105.82 1109.52 5,660,200 1109.52

340 May 20/98 1109.52 1119.08 1107.51 1119.06 5,872,400 1119.06

341 May 21/98 1119.06 1124.45 1111.94 1114.64 5,519,700 1114.64

342 May 22/98 1114.64 1116.89 1107.99 1110.47 4,440,700 1110.47

343 May 26/98 1110.47 1116.79 1094.01 1094.02 5,414,100 1094.02

344 May 27/98 1094.02 1094.44 1074.39 1092.23 6,820,400 1092.23

345 May 28/98 1092.23 1099.73 1089.06 1097.60 5,889,000 1097.60

346 May 29/98 1097.60 1104.16 1090.82 1090.82 5,567,800 1090.82

347 Jun 1/98 1090.82 1097.85 1084.22 1090.98 5,376,600 1090.98

348 Jun 2/98 1090.98 1098.71 1089.67 1093.22 5,909,300 1093.22

Page 10: GARCH Example

349 Jun 3/98 1093.22 1097.43 1081.09 1082.73 5,844,800 1082.73

350 Jun 4/98 1082.73 1095.93 1078.10 1094.83 5,774,700 1094.83

351 Jun 5/98 1095.10 1113.88 1094.83 1113.86 5,584,400 1113.86

352 Jun 8/98 1113.86 1119.70 1113.31 1115.72 5,433,900 1115.72

353 Jun 9/98 1115.72 1119.92 1111.31 1118.41 5,636,100 1118.41

354 Jun 10/98 1118.41 1126.00 1110.27 1112.28 6,094,100 1112.28

355 Jun 11/98 1112.28 1114.20 1094.28 1094.58 6,274,700 1094.58

356 Jun 12/98 1094.58 1098.84 1080.83 1098.84 6,333,000 1098.84

357 Jun 15/98 1098.84 1098.84 1077.01 1077.01 5,958,200 1077.01

358 Jun 16/98 1077.01 1087.59 1074.67 1087.59 6,646,000 1087.59

359 Jun 17/98 1087.59 1112.87 1087.58 1107.11 7,444,000 1107.11

360 Jun 18/98 1107.11 1109.36 1103.71 1106.37 5,904,400 1106.37

361 Jun 19/98 1106.37 1111.25 1097.10 1100.65 7,155,000 1100.65

362 Jun 22/98 1100.65 1109.01 1099.42 1103.21 5,315,500 1103.21

363 Jun 23/98 1103.21 1119.49 1103.21 1119.49 6,571,000 1119.49

364 Jun 24/98 1119.49 1134.40 1115.10 1132.88 7,149,000 1132.88

365 Jun 25/98 1132.88 1142.04 1127.60 1129.28 6,699,000 1129.28

366 Jun 26/98 1129.28 1136.83 1129.28 1133.20 5,200,500 1133.20

367 Jun 29/98 1133.20 1145.15 1133.20 1138.49 5,643,500 1138.49

368 Jun 30/98 1138.49 1140.80 1131.98 1133.84 7,572,000 1133.84

369 Jul 1/98 1133.84 1148.56 1133.84 1148.56 7,016,000 1148.56

370 Jul 2/98 1148.56 1148.56 1142.99 1146.42 5,102,100 1146.42

371 Jul 6/98 1146.42 1157.33 1145.03 1157.33 5,147,500 1157.33

372 Jul 7/98 1157.33 1159.81 1152.85 1154.66 6,248,900 1154.66

373 Jul 8/98 1154.66 1166.89 1154.66 1166.38 6,072,300 1166.38

374 Jul 9/98 1166.38 1166.38 1156.03 1158.56 6,636,000 1158.56

375 Jul 10/98 1158.57 1166.93 1150.88 1164.33 5,760,800 1164.33

376 Jul 13/98 1164.33 1166.98 1160.21 1165.19 5,748,800 1165.19

377 Jul 14/98 1165.19 1179.76 1165.19 1177.58 7,003,000 1177.58

378 Jul 15/98 1177.58 1181.48 1174.73 1174.81 7,239,000 1174.81

379 Jul 16/98 1174.81 1184.02 1170.40 1183.99 6,778,000 1183.99

380 Jul 17/98 1183.99 1188.10 1182.42 1186.75 6,180,300 1186.75

381 Jul 20/98 1186.75 1190.58 1179.19 1184.10 5,605,800 1184.10

382 Jul 21/98 1184.10 1187.37 1163.05 1165.07 6,597,000 1165.07

383 Jul 22/98 1165.07 1167.67 1155.20 1164.08 7,398,000 1164.08

384 Jul 23/98 1164.08 1164.35 1139.75 1139.75 7,416,000 1139.75

385 Jul 24/98 1139.75 1150.14 1129.11 1140.80 6,986,000 1140.80

386 Jul 27/98 1140.80 1147.27 1128.19 1147.27 6,199,900 1147.27

387 Jul 28/98 1147.27 1147.27 1119.44 1130.24 7,036,000 1130.24

388 Jul 29/98 1130.24 1138.56 1121.98 1125.21 6,443,500 1125.21

389 Jul 30/98 1125.21 1143.07 1125.21 1142.95 6,874,000 1142.95

390 Jul 31/98 1142.95 1142.97 1114.30 1120.67 6,459,100 1120.67

391 Aug 3/98 1120.67 1121.79 1110.39 1112.44 6,204,000 1112.44

392 Aug 4/98 1112.44 1119.73 1071.82 1072.12 8,526,000 1072.12

393 Aug 5/98 1072.12 1084.80 1057.35 1081.43 8,516,000 1081.43

394 Aug 6/98 1081.43 1090.95 1074.94 1089.63 7,684,000 1089.63

395 Aug 7/98 1089.63 1102.54 1084.72 1089.45 7,591,000 1089.45

396 Aug 10/98 1089.45 1092.82 1081.76 1083.14 5,791,800 1083.14

397 Aug 11/98 1083.14 1083.14 1054.00 1068.98 7,744,000 1068.98

398 Aug 12/98 1068.98 1084.70 1068.98 1084.22 7,117,000 1084.22

399 Aug 13/98 1084.22 1091.50 1074.91 1074.91 6,607,000 1074.91

Page 11: GARCH Example

400 Aug 14/98 1074.91 1083.92 1057.22 1062.75 6,440,300 1062.75

401 Aug 17/98 1062.75 1083.67 1055.08 1083.67 5,843,800 1083.67

402 Aug 18/98 1083.67 1101.72 1083.67 1101.20 6,906,000 1101.20

403 Aug 19/98 1101.20 1106.32 1094.93 1098.06 6,336,300 1098.06

404 Aug 20/98 1098.06 1098.79 1089.55 1091.60 6,216,300 1091.60

405 Aug 21/98 1091.60 1091.60 1054.92 1081.24 7,257,000 1081.24

406 Aug 24/98 1081.24 1093.82 1081.24 1088.14 5,581,000 1088.14

407 Aug 25/98 1088.14 1106.64 1085.53 1092.85 6,649,000 1092.85

408 Aug 26/98 1092.85 1092.85 1075.91 1084.19 6,741,000 1084.19

409 Aug 27/98 1084.19 1084.19 1037.61 1042.59 9,386,000 1042.59

410 Aug 28/98 1042.59 1051.80 1021.04 1027.14 8,403,000 1027.14

411 Aug 31/98 1027.14 1033.47 957.28 957.28 9,175,000 957.28

412 Sep 1/98 957.28 1000.71 939.98 994.26 12,166,000 994.26

413 Sep 2/98 994.26 1013.19 988.40 990.48 8,946,000 990.48

414 Sep 3/98 990.47 990.47 969.32 982.26 8,805,000 982.26

415 Sep 4/98 982.26 991.41 956.51 973.89 7,803,000 973.89

416 Sep 8/98 973.89 1023.46 973.89 1023.46 8,148,000 1023.46

417 Sep 9/98 1023.46 1027.72 1004.56 1006.20 7,043,000 1006.20

418 Sep 10/98 1006.20 1006.20 968.64 980.19 8,803,000 980.19

419 Sep 11/98 980.19 1009.06 969.71 1009.06 8,191,000 1009.06

420 Sep 14/98 1009.06 1038.38 1009.06 1029.72 7,144,000 1029.72

421 Sep 15/98 1029.72 1037.90 1021.42 1037.68 7,246,000 1037.68

422 Sep 16/98 1037.68 1046.07 1029.31 1045.48 7,975,000 1045.48

423 Sep 17/98 1045.48 1045.48 1016.05 1018.87 6,945,000 1018.87

424 Sep 18/98 1018.87 1022.01 1011.86 1020.09 7,947,000 1020.09

425 Sep 21/98 1020.09 1026.02 993.82 1023.89 6,098,800 1023.89

426 Sep 22/98 1023.89 1033.89 1021.96 1029.63 6,949,000 1029.63

427 Sep 23/98 1029.63 1066.09 1029.63 1066.09 8,997,000 1066.09

428 Sep 24/98 1066.09 1066.11 1033.04 1042.72 8,059,000 1042.72

429 Sep 25/98 1042.72 1051.89 1028.49 1044.75 7,368,000 1044.75

430 Sep 28/98 1044.75 1061.46 1042.23 1048.69 6,905,000 1048.69

431 Sep 29/98 1048.69 1056.31 1039.88 1049.02 7,601,000 1049.02

432 Sep 30/98 1049.02 1049.02 1015.73 1017.01 8,001,000 1017.01

433 Oct 1/98 1017.01 1017.01 981.29 986.39 8,997,000 986.39

434 Oct 2/98 986.39 1005.45 971.69 1002.60 9,029,000 1002.60

435 Oct 5/98 1002.60 1002.60 964.72 988.56 8,175,000 988.56

436 Oct 6/98 988.56 1008.77 974.81 984.59 8,457,000 984.59

437 Oct 7/98 984.59 995.66 957.15 970.68 9,770,000 970.68

438 Oct 8/98 970.68 970.68 923.32 959.44 11,146,000 959.44

439 Oct 9/98 959.44 984.42 953.04 984.39 8,781,000 984.39

440 Oct 12/98 984.39 1010.71 984.39 997.71 6,911,000 997.71

441 Oct 13/98 997.71 1000.78 987.55 994.80 7,333,000 994.80

442 Oct 14/98 994.80 1014.42 987.80 1005.53 7,912,000 1005.53

443 Oct 15/98 1005.53 1053.09 1000.12 1047.49 9,376,000 1047.49

444 Oct 16/98 1047.49 1062.65 1047.49 1056.42 10,422,000 1056.42

445 Oct 19/98 1056.42 1065.21 1054.23 1062.39 7,386,000 1062.39

446 Oct 20/98 1062.39 1084.06 1060.61 1063.93 9,582,000 1063.93

447 Oct 21/98 1063.93 1073.61 1058.08 1069.92 7,451,000 1069.92

448 Oct 22/98 1069.92 1080.43 1061.47 1078.48 7,549,000 1078.48

449 Oct 23/98 1078.48 1078.48 1067.43 1070.67 6,376,400 1070.67

450 Oct 26/98 1070.67 1081.23 1068.17 1072.32 6,099,100 1072.32

Page 12: GARCH Example

451 Oct 27/98 1072.32 1087.08 1063.06 1065.34 7,645,000 1065.34

452 Oct 28/98 1065.34 1072.79 1059.65 1068.09 6,775,000 1068.09

453 Oct 29/98 1068.09 1086.11 1065.95 1085.93 6,994,000 1085.93

454 Oct 30/98 1085.93 1103.78 1085.93 1098.67 7,850,000 1098.67

455 Nov 2/98 1098.67 1114.44 1098.67 1111.60 7,538,000 1111.60

456 Nov 3/98 1111.60 1115.02 1106.42 1110.84 7,043,000 1110.84

457 Nov 4/98 1110.84 1127.18 1110.59 1118.67 8,611,000 1118.67

458 Nov 5/98 1118.67 1133.88 1109.55 1133.85 7,702,000 1133.85

459 Nov 6/98 1133.85 1141.30 1131.18 1141.01 6,831,000 1141.01

460 Nov 9/98 1141.01 1141.01 1123.17 1130.20 5,929,900 1130.20

461 Nov 10/98 1130.20 1135.37 1122.80 1128.26 6,713,000 1128.26

462 Nov 11/98 1128.26 1136.25 1117.40 1120.97 7,157,000 1120.97

463 Nov 12/98 1120.97 1126.57 1115.55 1117.69 6,623,000 1117.69

464 Nov 13/98 1117.69 1126.34 1116.76 1125.72 6,022,700 1125.72

465 Nov 16/98 1125.72 1138.72 1125.72 1135.87 6,155,800 1135.87

466 Nov 17/98 1135.87 1151.71 1129.67 1139.32 7,052,000 1139.32

467 Nov 18/98 1139.32 1144.52 1133.07 1144.48 6,525,100 1144.48

468 Nov 19/98 1144.48 1155.10 1144.42 1152.61 6,710,000 1152.61

469 Nov 20/98 1152.61 1163.55 1152.61 1163.55 7,212,000 1163.55

470 Nov 23/98 1163.55 1188.21 1163.55 1188.21 7,741,000 1188.21

471 Nov 24/98 1188.21 1191.30 1181.81 1182.99 7,662,000 1182.99

472 Nov 25/98 1182.99 1187.16 1179.37 1186.87 5,835,800 1186.87

473 Nov 27/98 1186.87 1192.97 1186.83 1192.33 2,569,500 1192.33

474 Nov 30/98 1192.33 1192.72 1163.63 1163.63 6,879,000 1163.63

475 Dec 1/98 1163.63 1175.89 1150.31 1175.28 7,892,000 1175.28

476 Dec 2/98 1175.28 1175.28 1157.76 1171.25 7,274,000 1171.25

477 Dec 3/98 1171.25 1176.99 1149.61 1150.14 7,991,000 1150.14

478 Dec 4/98 1150.14 1176.74 1150.14 1176.74 7,097,000 1176.74

479 Dec 7/98 1176.74 1188.96 1176.71 1187.70 6,712,000 1187.70

480 Dec 8/98 1187.70 1193.53 1172.78 1181.38 7,277,000 1181.38

481 Dec 9/98 1181.38 1185.22 1175.89 1183.49 6,942,000 1183.49

482 Dec 10/98 1183.49 1183.77 1163.75 1165.02 7,486,000 1165.02

483 Dec 11/98 1165.02 1167.89 1153.19 1166.46 6,889,000 1166.46

484 Dec 14/98 1166.46 1166.46 1136.89 1141.20 7,418,000 1141.20

485 Dec 15/98 1141.20 1162.83 1141.20 1162.83 7,779,000 1162.83

486 Dec 16/98 1162.83 1166.29 1154.69 1161.94 7,255,000 1161.94

487 Dec 17/98 1161.94 1180.03 1161.94 1179.98 7,394,000 1179.98

488 Dec 18/98 1179.98 1188.89 1178.27 1188.03 8,396,000 1188.03

489 Dec 21/98 1188.03 1210.88 1188.03 1202.84 7,448,000 1202.84

490 Dec 22/98 1202.84 1209.22 1192.72 1203.57 6,805,000 1203.57

491 Dec 23/98 1203.57 1229.89 1203.57 1228.54 6,975,000 1228.54

492 Dec 24/98 1228.54 1229.72 1224.85 1226.27 2,469,800 1226.27

493 Dec 28/98 1226.27 1231.52 1221.17 1225.49 5,315,600 1225.49

494 Dec 29/98 1225.49 1241.86 1220.78 1241.81 5,864,900 1241.81

495 Dec 30/98 1241.81 1244.93 1231.20 1231.93 5,942,200 1231.93

496 Dec 31/98 1231.93 1237.18 1224.96 1229.23 7,192,000 1229.23

497 Jan 4/99 1229.23 1248.81 1219.10 1228.10 8,770,000 1228.10

498 Jan 5/99 1228.10 1246.11 1228.10 1244.78 7,750,000 1244.78

499 Jan 6/99 1244.78 1272.50 1244.78 1272.34 9,869,000 1272.34

500 Jan 7/99 1272.34 1272.34 1257.68 1269.73 8,630,000 1269.73

501 Jan 8/99 1269.73 1278.24 1261.82 1275.09 9,378,000 1275.09

Page 13: GARCH Example

502 Jan 11/99 1275.09 1276.22 1253.34 1263.88 8,180,000 1263.88

503 Jan 12/99 1263.88 1264.45 1238.29 1239.51 8,002,000 1239.51

504 Jan 13/99 1239.51 1247.75 1205.46 1234.40 9,315,000 1234.40

505 Jan 14/99 1234.40 1236.81 1209.54 1212.19 7,972,000 1212.19

506 Jan 15/99 1212.19 1243.26 1212.19 1243.26 7,981,000 1243.26

507 Jan 19/99 1243.26 1253.27 1234.91 1252.00 7,855,000 1252.00

508 Jan 20/99 1252.00 1274.07 1251.54 1256.62 9,057,000 1256.62

509 Jan 21/99 1256.62 1256.94 1232.19 1235.16 8,718,000 1235.16

510 Jan 22/99 1235.16 1236.41 1217.97 1225.19 7,859,000 1225.19

511 Jan 25/99 1225.19 1233.98 1219.46 1233.98 7,239,000 1233.98

512 Jan 26/99 1233.98 1253.25 1233.98 1252.31 8,964,000 1252.31

513 Jan 27/99 1252.31 1262.61 1242.82 1243.17 8,938,000 1243.17

514 Jan 28/99 1243.17 1266.40 1243.17 1265.37 8,488,000 1265.37

515 Jan 29/99 1265.37 1280.37 1255.18 1279.64 9,170,000 1279.64

516 Feb 1/99 1279.64 1283.75 1271.31 1273.00 7,994,000 1273.00

517 Feb 2/99 1273.00 1273.49 1247.56 1261.99 8,455,000 1261.99

518 Feb 3/99 1261.99 1276.04 1255.27 1272.07 8,765,000 1272.07

519 Feb 4/99 1272.07 1272.23 1248.36 1248.49 8,544,000 1248.49

520 Feb 5/99 1248.49 1251.86 1232.28 1239.40 8,720,000 1239.40

521 Feb 8/99 1239.40 1246.93 1231.98 1243.77 7,054,000 1243.77

522 Feb 9/99 1243.77 1243.97 1215.63 1216.14 7,360,000 1216.14

523 Feb 10/99 1216.14 1226.78 1211.89 1223.55 7,214,000 1223.55

524 Feb 11/99 1223.55 1254.05 1223.19 1254.04 8,158,000 1254.04

525 Feb 12/99 1254.04 1254.04 1225.53 1230.13 6,915,000 1230.13

526 Feb 16/99 1230.13 1252.17 1230.13 1241.87 6,537,600 1241.87

527 Feb 17/99 1241.87 1249.31 1220.92 1224.03 7,351,000 1224.03

528 Feb 18/99 1224.03 1239.13 1220.70 1237.28 7,424,000 1237.28

529 Feb 19/99 1237.28 1247.91 1232.03 1239.22 7,000,000 1239.22

530 Feb 22/99 1239.22 1272.22 1239.22 1272.14 7,185,000 1272.14

531 Feb 23/99 1272.14 1280.38 1263.36 1271.18 7,811,000 1271.18

532 Feb 24/99 1271.18 1283.84 1251.94 1253.41 7,820,000 1253.41

533 Feb 25/99 1253.41 1253.41 1225.01 1245.02 7,405,000 1245.02

534 Feb 26/99 1245.02 1246.73 1226.24 1238.33 7,846,000 1238.33

535 Mar 1/99 1238.33 1238.70 1221.88 1236.16 6,995,000 1236.16

536 Mar 2/99 1236.16 1248.31 1221.87 1225.50 7,536,000 1225.50

537 Mar 3/99 1225.50 1231.63 1216.03 1227.70 7,517,000 1227.70

538 Mar 4/99 1227.70 1247.74 1227.70 1246.64 7,709,000 1246.64

539 Mar 5/99 1246.64 1275.73 1246.64 1275.47 8,349,000 1275.47

540 Mar 8/99 1275.47 1282.74 1271.58 1282.73 7,146,000 1282.73

541 Mar 9/99 1282.73 1293.74 1275.11 1279.84 8,037,000 1279.84

542 Mar 10/99 1279.84 1287.02 1275.16 1286.84 8,419,000 1286.84

543 Mar 11/99 1286.84 1306.43 1286.84 1297.68 9,048,000 1297.68

544 Mar 12/99 1297.68 1304.42 1289.17 1294.59 8,258,000 1294.59

545 Mar 15/99 1294.59 1307.47 1291.03 1307.26 7,272,000 1307.26

546 Mar 16/99 1307.26 1311.11 1302.29 1306.38 7,519,000 1306.38

547 Mar 17/99 1306.38 1306.55 1292.63 1297.82 7,523,000 1297.82

548 Mar 18/99 1297.82 1317.62 1294.75 1316.55 8,310,000 1316.55

549 Mar 19/99 1316.55 1323.82 1298.92 1299.29 9,147,000 1299.29

550 Mar 22/99 1299.29 1303.84 1294.26 1297.01 6,582,000 1297.01

551 Mar 23/99 1297.01 1297.01 1257.46 1262.14 8,113,000 1262.14

552 Mar 24/99 1262.14 1269.02 1256.43 1268.59 7,619,000 1268.59

Page 14: GARCH Example

553 Mar 25/99 1268.59 1289.99 1268.59 1289.99 7,842,000 1289.99

554 Mar 26/99 1289.99 1289.99 1277.25 1282.80 7,072,000 1282.80

555 Mar 29/99 1282.80 1311.76 1282.80 1310.17 7,479,000 1310.17

556 Mar 30/99 1310.17 1310.17 1295.47 1300.75 7,290,000 1300.75

557 Mar 31/99 1300.75 1313.60 1285.87 1286.37 9,243,000 1286.37

558 Apr 1/99 1286.37 1294.54 1282.56 1293.72 7,030,000 1293.72

559 Apr 5/99 1293.72 1321.12 1293.72 1321.12 6,958,000 1321.12

560 Apr 6/99 1321.12 1326.76 1311.07 1317.89 7,875,000 1317.89

561 Apr 7/99 1317.89 1329.58 1312.59 1326.89 8,164,000 1326.89

562 Apr 8/99 1326.89 1344.08 1321.60 1343.98 8,505,000 1343.98

563 Apr 9/99 1343.98 1351.22 1335.24 1348.35 7,161,000 1348.35

564 Apr 12/99 1348.35 1358.69 1333.48 1358.63 8,108,000 1358.63

565 Apr 13/99 1358.64 1362.38 1344.03 1349.82 8,109,000 1349.82

566 Apr 14/99 1349.82 1357.24 1326.41 1328.44 9,520,000 1328.44

567 Apr 15/99 1328.44 1332.41 1308.38 1322.85 10,898,000 1322.85

568 Apr 16/99 1322.86 1325.03 1311.40 1319.00 10,023,000 1319.00

569 Apr 19/99 1319.00 1340.10 1284.48 1289.48 12,144,000 1289.48

570 Apr 20/99 1289.48 1306.30 1284.21 1306.17 9,854,000 1306.17

571 Apr 21/99 1306.17 1336.12 1301.84 1336.12 9,200,000 1336.12

572 Apr 22/99 1336.12 1358.84 1336.12 1358.82 9,279,000 1358.82

573 Apr 23/99 1358.83 1363.65 1348.45 1356.85 7,449,000 1356.85

574 Apr 26/99 1356.85 1363.56 1353.72 1360.04 7,120,000 1360.04

575 Apr 27/99 1360.04 1371.56 1356.55 1362.80 8,917,000 1362.80

576 Apr 28/99 1362.80 1368.62 1348.29 1350.91 9,517,000 1350.91

577 Apr 29/99 1350.91 1356.75 1336.81 1342.83 10,036,000 1342.83

578 Apr 30/99 1342.83 1351.83 1314.58 1335.18 9,365,000 1335.18

579 May 3/99 1335.18 1354.63 1329.01 1354.63 8,114,000 1354.63

580 May 4/99 1354.63 1354.64 1330.64 1332.00 9,331,000 1332.00

581 May 5/99 1332.00 1347.32 1317.44 1347.31 9,135,000 1347.31

582 May 6/99 1347.31 1348.36 1322.56 1332.05 8,754,000 1332.05

583 May 7/99 1332.05 1345.99 1332.05 1345.00 8,149,000 1345.00

584 May 10/99 1345.00 1352.01 1334.00 1340.30 7,733,000 1340.30

585 May 11/99 1340.30 1360.00 1340.30 1355.61 8,361,000 1355.61

586 May 12/99 1355.61 1367.36 1333.10 1364.00 8,255,000 1364.00

587 May 13/99 1364.00 1375.98 1364.00 1367.56 7,969,000 1367.56

588 May 14/99 1367.56 1367.56 1332.63 1337.80 7,278,000 1337.80

589 May 17/99 1337.80 1339.95 1321.19 1339.49 6,655,000 1339.49

590 May 18/99 1339.49 1345.44 1323.46 1333.32 7,534,000 1333.32

591 May 19/99 1333.32 1344.23 1327.05 1344.23 8,011,000 1344.23

592 May 20/99 1344.23 1350.49 1338.83 1338.83 7,522,000 1338.83

593 May 21/99 1338.83 1340.88 1326.19 1330.29 6,866,000 1330.29

594 May 24/99 1330.29 1333.02 1303.53 1306.65 7,547,000 1306.65

595 May 25/99 1306.65 1317.52 1284.38 1284.40 8,267,000 1284.40

596 May 26/99 1284.40 1304.85 1278.43 1304.76 8,708,000 1304.76

597 May 27/99 1304.76 1304.76 1277.31 1281.41 8,114,000 1281.41

598 May 28/99 1281.41 1304.00 1281.41 1301.84 6,499,600 1301.84

599 Jun 1/99 1301.84 1301.84 1281.44 1294.26 6,838,000 1294.26

600 Jun 2/99 1294.26 1297.10 1277.47 1294.81 7,280,000 1294.81

601 Jun 3/99 1294.81 1304.15 1294.20 1299.54 7,196,000 1299.54

602 Jun 4/99 1299.54 1327.75 1299.54 1327.75 6,945,000 1327.75

603 Jun 7/99 1327.75 1336.42 1325.89 1334.52 6,643,000 1334.52

Page 15: GARCH Example

604 Jun 8/99 1334.52 1334.52 1312.83 1317.33 6,859,000 1317.33

605 Jun 9/99 1317.33 1326.01 1314.73 1318.64 6,620,000 1318.64

606 Jun 10/99 1318.64 1318.64 1293.28 1302.82 7,165,000 1302.82

607 Jun 11/99 1302.82 1311.97 1287.88 1293.64 6,982,000 1293.64

608 Jun 14/99 1293.64 1301.99 1292.20 1294.00 6,694,000 1294.00

609 Jun 15/99 1294.00 1310.76 1294.00 1301.16 6,966,000 1301.16

610 Jun 16/99 1301.16 1332.83 1301.16 1330.41 8,068,000 1330.41

611 Jun 17/99 1330.41 1343.54 1322.75 1339.90 7,003,000 1339.90

612 Jun 18/99 1339.90 1344.48 1333.52 1342.84 9,145,000 1342.84

613 Jun 21/99 1342.84 1349.06 1337.63 1349.00 6,866,000 1349.00

614 Jun 22/99 1349.00 1351.12 1335.52 1335.88 7,165,000 1335.88

615 Jun 23/99 1335.87 1335.88 1322.55 1333.06 7,318,000 1333.06

616 Jun 24/99 1333.06 1333.06 1308.47 1315.78 6,904,000 1315.78

617 Jun 25/99 1315.78 1329.13 1312.64 1315.31 6,234,600 1315.31

618 Jun 28/99 1315.31 1333.68 1315.31 1331.35 6,529,100 1331.35

619 Jun 29/99 1331.35 1351.51 1328.40 1351.45 8,201,000 1351.45

620 Jun 30/99 1351.45 1372.93 1338.78 1372.71 11,170,000 1372.71

621 Jul 1/99 1372.71 1382.80 1360.80 1380.96 8,434,000 1380.96

622 Jul 2/99 1380.96 1391.22 1379.57 1391.22 6,135,700 1391.22

623 Jul 6/99 1391.22 1405.29 1387.08 1388.12 7,229,000 1388.12

624 Jul 7/99 1388.12 1395.88 1384.95 1395.86 7,912,000 1395.86

625 Jul 8/99 1395.86 1403.25 1386.69 1394.42 8,306,000 1394.42

626 Jul 9/99 1394.42 1403.28 1394.42 1403.28 7,010,000 1403.28

627 Jul 12/99 1403.28 1406.82 1394.70 1399.10 6,853,000 1399.10

628 Jul 13/99 1399.10 1399.10 1386.84 1393.56 7,360,000 1393.56

629 Jul 14/99 1393.56 1400.05 1386.51 1398.17 7,561,000 1398.17

630 Jul 15/99 1398.17 1409.84 1398.17 1409.62 8,188,000 1409.62

631 Jul 16/99 1409.62 1418.78 1407.07 1418.78 7,141,000 1418.78

632 Jul 19/99 1418.78 1420.33 1404.56 1407.65 6,423,300 1407.65

633 Jul 20/99 1407.65 1407.65 1375.15 1377.10 7,548,000 1377.10

634 Jul 21/99 1377.10 1386.66 1372.63 1379.29 7,855,000 1379.29

635 Jul 22/99 1379.29 1379.29 1353.98 1360.97 7,717,000 1360.97

636 Jul 23/99 1360.97 1367.41 1349.91 1356.94 6,305,800 1356.94

637 Jul 26/99 1356.94 1358.61 1346.20 1347.76 6,134,500 1347.76

638 Jul 27/99 1347.75 1368.70 1347.75 1362.84 7,238,000 1362.84

639 Jul 28/99 1362.84 1370.53 1355.54 1365.40 6,909,000 1365.40

640 Jul 29/99 1365.40 1365.40 1332.82 1341.03 7,701,000 1341.03

641 Jul 30/99 1341.03 1350.92 1328.49 1328.72 7,368,000 1328.72

642 Aug 2/99 1328.72 1344.69 1325.21 1328.05 6,495,500 1328.05

643 Aug 3/99 1328.05 1336.13 1314.91 1322.18 7,396,000 1322.18

644 Aug 4/99 1322.18 1330.16 1304.50 1305.33 7,893,000 1305.33

645 Aug 5/99 1305.33 1313.71 1287.23 1313.71 8,593,000 1313.71

646 Aug 6/99 1313.71 1316.74 1293.19 1300.29 6,989,000 1300.29

647 Aug 9/99 1300.29 1306.68 1295.99 1297.80 6,843,000 1297.80

648 Aug 10/99 1297.80 1298.62 1267.73 1281.43 8,362,000 1281.43

649 Aug 11/99 1281.43 1301.93 1281.43 1301.93 7,923,000 1301.93

650 Aug 12/99 1301.93 1313.61 1298.06 1298.16 7,456,000 1298.16

651 Aug 13/99 1298.16 1327.72 1298.16 1327.68 6,917,000 1327.68

652 Aug 16/99 1327.68 1331.05 1320.51 1330.77 5,835,500 1330.77

653 Aug 17/99 1330.77 1344.16 1328.76 1344.16 6,915,000 1344.16

654 Aug 18/99 1344.16 1344.16 1332.13 1332.84 6,828,000 1332.84

Page 16: GARCH Example

655 Aug 19/99 1332.84 1332.84 1315.35 1323.59 6,842,000 1323.59

656 Aug 20/99 1323.59 1336.61 1323.59 1336.61 6,612,000 1336.61

657 Aug 23/99 1336.61 1360.24 1336.61 1360.22 6,826,000 1360.22

658 Aug 24/99 1360.22 1373.32 1353.63 1363.50 7,327,000 1363.50

659 Aug 25/99 1363.50 1382.84 1359.20 1381.79 8,646,000 1381.79

660 Aug 26/99 1381.79 1381.79 1361.53 1362.01 7,190,000 1362.01

661 Aug 27/99 1362.01 1365.63 1347.35 1348.27 5,700,500 1348.27

662 Aug 30/99 1348.27 1350.70 1322.80 1324.02 5,979,000 1324.02

663 Aug 31/99 1324.02 1333.27 1306.96 1320.41 8,617,000 1320.41

664 Sep 1/99 1320.41 1331.18 1320.39 1331.07 7,082,000 1331.07

665 Sep 2/99 1331.07 1331.07 1304.88 1319.11 6,871,000 1319.11

666 Sep 3/99 1319.11 1357.74 1319.11 1357.24 6,632,000 1357.24

667 Sep 7/99 1357.24 1361.39 1349.59 1350.45 7,153,000 1350.45

668 Sep 8/99 1350.45 1355.18 1337.36 1344.15 7,912,000 1344.15

669 Sep 9/99 1344.15 1347.66 1333.91 1347.66 7,739,000 1347.66

670 Sep 10/99 1347.66 1357.62 1346.20 1351.66 8,085,000 1351.66

671 Sep 13/99 1351.66 1351.66 1341.70 1344.13 6,579,000 1344.13

672 Sep 14/99 1344.13 1344.18 1330.61 1336.29 7,345,000 1336.29

673 Sep 15/99 1336.29 1347.21 1317.97 1317.97 7,873,000 1317.97

674 Sep 16/99 1317.97 1322.51 1299.97 1318.48 7,390,000 1318.48

675 Sep 17/99 1318.48 1337.59 1318.48 1335.42 8,619,000 1335.42

676 Sep 20/99 1335.42 1338.38 1330.61 1335.53 5,680,000 1335.53

677 Sep 21/99 1335.52 1335.53 1301.97 1307.58 8,173,000 1307.58

678 Sep 22/99 1307.58 1316.18 1297.81 1310.51 8,222,000 1310.51

679 Sep 23/99 1310.51 1315.25 1277.30 1280.41 8,908,000 1280.41

680 Sep 24/99 1280.41 1281.17 1263.84 1277.36 8,728,000 1277.36

681 Sep 27/99 1277.36 1295.03 1277.36 1283.31 7,806,000 1283.31

682 Sep 28/99 1283.31 1285.55 1256.26 1282.20 8,854,000 1282.20

683 Sep 29/99 1282.20 1288.83 1268.16 1268.37 8,560,000 1268.37

684 Sep 30/99 1268.37 1291.31 1268.37 1282.71 10,176,000 1282.71

685 Oct 1/99 1282.71 1283.17 1265.78 1282.81 8,962,000 1282.81

686 Oct 4/99 1282.81 1304.60 1282.81 1304.60 8,033,000 1304.60

687 Oct 5/99 1304.60 1316.41 1286.44 1301.35 9,657,000 1301.35

688 Oct 6/99 1301.35 1325.46 1301.35 1325.40 8,952,000 1325.40

689 Oct 7/99 1325.40 1328.05 1314.13 1317.64 8,278,000 1317.64

690 Oct 8/99 1317.64 1336.61 1311.88 1336.02 8,973,000 1336.02

691 Oct 11/99 1336.02 1339.23 1332.96 1335.21 6,559,000 1335.21

692 Oct 12/99 1335.21 1335.21 1311.80 1313.04 7,783,000 1313.04

693 Oct 13/99 1313.04 1313.04 1282.80 1285.55 8,215,000 1285.55

694 Oct 14/99 1285.55 1289.63 1267.62 1283.42 8,923,000 1283.42

695 Oct 15/99 1283.42 1283.42 1245.39 1247.41 9,126,000 1247.41

696 Oct 18/99 1247.41 1254.13 1233.70 1254.13 8,187,000 1254.13

697 Oct 19/99 1254.13 1279.32 1254.13 1261.32 9,057,000 1261.32

698 Oct 20/99 1261.32 1289.44 1261.32 1289.43 9,288,000 1289.43

699 Oct 21/99 1289.43 1289.43 1265.61 1283.61 10,125,000 1283.61

700 Oct 22/99 1283.61 1308.81 1283.61 1301.65 9,592,000 1301.65

701 Oct 25/99 1301.65 1301.68 1286.07 1293.63 7,770,000 1293.63

702 Oct 26/99 1293.63 1303.46 1281.86 1281.91 8,783,000 1281.91

703 Oct 27/99 1281.91 1299.39 1280.48 1296.71 9,501,000 1296.71

704 Oct 28/99 1296.71 1342.47 1296.71 1342.44 11,351,000 1342.44

705 Oct 29/99 1342.44 1373.17 1342.44 1362.93 11,205,000 1362.93

Page 17: GARCH Example

706 Nov 1/99 1362.93 1367.30 1354.05 1354.12 8,610,000 1354.12

707 Nov 2/99 1354.12 1369.32 1346.41 1347.74 9,045,000 1347.74

708 Nov 3/99 1347.74 1360.33 1347.74 1354.93 9,144,000 1354.93

709 Nov 4/99 1354.93 1369.41 1354.93 1362.64 9,817,000 1362.64

710 Nov 5/99 1362.64 1387.48 1362.64 1370.23 10,073,000 1370.23

711 Nov 8/99 1370.23 1380.78 1365.87 1377.01 8,068,000 1377.01

712 Nov 9/99 1377.01 1383.81 1361.45 1365.28 8,543,000 1365.28

713 Nov 10/99 1365.28 1379.18 1359.98 1373.46 9,847,000 1373.46

714 Nov 11/99 1373.46 1382.12 1372.19 1381.46 8,913,000 1381.46

715 Nov 12/99 1381.46 1396.12 1368.54 1396.06 9,002,000 1396.06

716 Nov 15/99 1396.06 1398.58 1392.28 1394.39 7,957,000 1394.39

717 Nov 16/99 1394.39 1420.36 1394.39 1420.07 9,422,000 1420.07

718 Nov 17/99 1420.07 1423.44 1410.69 1410.71 9,600,000 1410.71

719 Nov 18/99 1410.71 1425.31 1410.71 1424.94 10,228,000 1424.94

720 Nov 19/99 1424.94 1424.94 1417.54 1422.00 8,938,000 1422.00

721 Nov 22/99 1422.00 1425.00 1412.40 1420.94 8,735,000 1420.94

722 Nov 23/99 1420.94 1423.91 1402.20 1404.64 9,261,000 1404.64

723 Nov 24/99 1404.64 1419.71 1399.17 1417.08 7,348,000 1417.08

724 Nov 26/99 1417.08 1425.24 1416.14 1416.62 3,121,200 1416.62

725 Nov 29/99 1416.62 1416.62 1404.15 1407.83 8,661,000 1407.83

726 Nov 30/99 1407.83 1410.59 1386.95 1388.91 9,515,000 1388.91

727 Dec 1/99 1388.91 1400.12 1387.38 1397.72 8,840,000 1397.72

728 Dec 2/99 1397.72 1409.04 1397.72 1409.04 9,007,000 1409.04

729 Dec 3/99 1409.04 1447.42 1409.04 1433.30 10,064,000 1433.30

730 Dec 6/99 1433.30 1434.15 1418.25 1423.33 9,168,000 1423.33

731 Dec 7/99 1423.33 1426.81 1409.17 1409.17 10,858,000 1409.17

732 Dec 8/99 1409.17 1415.66 1403.88 1403.88 9,570,000 1403.88

733 Dec 9/99 1403.88 1418.43 1391.47 1408.11 11,221,000 1408.11

734 Dec 10/99 1408.11 1421.58 1405.65 1417.04 9,872,000 1417.04

735 Dec 13/99 1417.04 1421.58 1410.10 1415.22 9,776,000 1415.22

736 Dec 14/99 1415.22 1418.30 1401.59 1403.17 10,278,000 1403.17

737 Dec 15/99 1403.17 1417.40 1396.20 1413.33 10,339,000 1413.33

738 Dec 16/99 1413.32 1423.11 1408.35 1418.78 10,703,000 1418.78

739 Dec 17/99 1418.78 1431.77 1418.78 1421.03 13,498,000 1421.03

740 Dec 20/99 1421.03 1429.16 1411.10 1418.09 9,046,000 1418.09

741 Dec 21/99 1418.09 1436.47 1414.80 1433.43 9,635,000 1433.43

742 Dec 22/99 1433.43 1440.02 1429.13 1436.13 8,500,000 1436.13

743 Dec 23/99 1436.13 1461.44 1436.13 1458.34 7,286,000 1458.34

744 Dec 27/99 1458.34 1463.19 1450.83 1457.10 7,226,000 1457.10

745 Dec 28/99 1457.09 1462.68 1452.78 1457.66 6,554,000 1457.66

746 Dec 29/99 1457.66 1467.47 1457.66 1463.46 5,678,600 1463.46

747 Dec 30/99 1463.46 1473.10 1462.60 1464.47 5,546,800 1464.47

748 Dec 31/99 1464.47 1472.42 1458.19 1469.25 3,740,500 1469.25

749 Jan 3/00 1469.25 1478.00 1438.36 1455.22 9,318,000 1455.22

750 Jan 4/00 1455.22 1455.22 1397.43 1399.42 10,090,000 1399.42

751 Jan 5/00 1399.42 1413.27 1377.68 1402.11 10,855,000 1402.11

752 Jan 6/00 1402.11 1411.90 1392.10 1403.45 10,923,000 1403.45

753 Jan 7/00 1403.45 1441.47 1400.73 1441.47 12,252,000 1441.47

754 Jan 10/00 1441.47 1464.36 1441.47 1457.60 10,648,000 1457.60

755 Jan 11/00 1457.60 1458.66 1434.42 1438.56 10,140,000 1438.56

756 Jan 12/00 1438.56 1442.60 1427.08 1432.25 9,746,000 1432.25

Page 18: GARCH Example

757 Jan 13/00 1432.25 1454.20 1432.25 1449.68 10,304,000 1449.68

758 Jan 14/00 1449.68 1473.00 1449.68 1465.15 10,859,000 1465.15

759 Jan 18/00 1465.15 1465.15 1451.30 1455.14 10,567,000 1455.14

760 Jan 19/00 1455.14 1461.39 1448.68 1455.90 10,878,000 1455.90

761 Jan 20/00 1455.90 1465.71 1438.54 1445.57 11,007,000 1445.57

762 Jan 21/00 1445.57 1453.18 1439.60 1441.36 12,098,000 1441.36

763 Jan 24/00 1441.36 1454.09 1395.42 1401.53 11,158,000 1401.53

764 Jan 25/00 1401.53 1414.26 1388.49 1410.03 10,737,000 1410.03

765 Jan 26/00 1410.03 1412.73 1400.16 1404.09 11,173,000 1404.09

766 Jan 27/00 1404.09 1418.86 1370.99 1398.56 11,295,000 1398.56

767 Jan 28/00 1398.56 1398.56 1356.20 1360.16 10,958,000 1360.16

768 Jan 31/00 1360.16 1394.48 1350.14 1394.46 9,938,000 1394.46

769 Feb 1/00 1394.46 1412.49 1384.79 1409.28 9,810,000 1409.28

770 Feb 2/00 1409.28 1420.61 1403.49 1409.12 10,386,000 1409.12

771 Feb 3/00 1409.12 1425.78 1398.52 1424.97 11,465,000 1424.97

772 Feb 4/00 1424.97 1435.91 1420.63 1424.37 10,451,000 1424.37

773 Feb 7/00 1424.37 1427.15 1413.33 1424.24 9,181,000 1424.24

774 Feb 8/00 1424.24 1441.83 1424.24 1441.72 10,477,000 1441.72

775 Feb 9/00 1441.72 1444.55 1411.65 1411.71 10,505,000 1411.71

776 Feb 10/00 1411.70 1422.10 1406.43 1416.83 10,588,000 1416.83

777 Feb 11/00 1416.83 1416.83 1378.89 1387.12 10,257,000 1387.12

778 Feb 14/00 1387.12 1394.93 1380.53 1389.94 9,273,000 1389.94

779 Feb 15/00 1389.94 1407.72 1376.25 1402.05 10,921,000 1402.05

780 Feb 16/00 1402.05 1404.55 1385.58 1387.67 10,188,000 1387.67

781 Feb 17/00 1387.67 1399.88 1380.07 1388.26 10,348,000 1388.26

782 Feb 18/00 1388.26 1388.59 1345.32 1346.09 10,423,000 1346.09

783 Feb 22/00 1346.09 1358.11 1331.88 1352.17 9,800,000 1352.17

784 Feb 23/00 1352.17 1370.11 1342.44 1360.69 9,937,000 1360.69

785 Feb 24/00 1360.69 1364.80 1329.88 1353.43 12,150,000 1353.43

786 Feb 25/00 1353.43 1362.14 1329.15 1333.36 10,652,000 1333.36

787 Feb 28/00 1333.36 1360.82 1325.07 1348.05 10,265,000 1348.05

788 Feb 29/00 1348.05 1369.63 1348.05 1366.42 12,043,000 1366.42

789 Mar 1/00 1366.42 1383.46 1366.42 1379.19 12,741,000 1379.19

790 Mar 2/00 1379.19 1386.56 1370.35 1381.76 11,986,000 1381.76

791 Mar 3/00 1381.76 1410.88 1381.76 1409.17 11,503,000 1409.17

792 Mar 6/00 1409.17 1409.74 1384.75 1391.28 10,290,000 1391.28

793 Mar 7/00 1391.28 1399.21 1349.99 1355.62 13,141,000 1355.62

794 Mar 8/00 1355.62 1373.79 1346.62 1366.70 12,030,000 1366.70

795 Mar 9/00 1366.70 1401.82 1357.88 1401.69 11,230,000 1401.69

796 Mar 10/00 1401.69 1413.46 1392.07 1395.07 11,388,000 1395.07

797 Mar 13/00 1395.07 1398.39 1364.84 1383.62 10,161,000 1383.62

798 Mar 14/00 1383.62 1395.15 1359.15 1359.15 10,940,000 1359.15

799 Mar 15/00 1359.15 1397.99 1356.99 1392.14 13,028,000 1392.14

800 Mar 16/00 1392.15 1458.47 1392.15 1458.47 14,823,000 1458.47

801 Mar 17/00 1458.47 1477.33 1453.32 1464.47 12,951,000 1464.47

802 Mar 20/00 1464.47 1470.30 1448.49 1456.63 9,208,000 1456.63

803 Mar 21/00 1456.63 1493.92 1446.06 1493.87 10,659,000 1493.87

804 Mar 22/00 1493.87 1505.08 1487.33 1500.64 10,750,000 1500.64

805 Mar 23/00 1500.64 1532.50 1492.39 1527.35 10,783,000 1527.35

806 Mar 24/00 1527.35 1552.87 1516.83 1527.46 10,522,000 1527.46

807 Mar 27/00 1527.46 1534.63 1518.46 1523.86 9,010,000 1523.86

Page 19: GARCH Example

808 Mar 28/00 1523.86 1527.36 1507.09 1507.73 9,591,000 1507.73

809 Mar 29/00 1507.73 1521.45 1497.45 1508.52 10,619,000 1508.52

810 Mar 30/00 1508.52 1517.38 1474.63 1487.92 11,934,000 1487.92

811 Mar 31/00 1487.92 1519.81 1484.38 1498.58 12,274,000 1498.58

812 Apr 3/00 1498.58 1507.19 1486.96 1505.97 10,217,000 1505.97

813 Apr 4/00 1505.98 1526.45 1416.41 1494.73 15,154,600 1494.73

814 Apr 5/00 1494.73 1506.55 1478.05 1487.37 11,103,000 1487.37

815 Apr 6/00 1487.37 1511.76 1487.37 1501.34 10,080,000 1501.34

816 Apr 7/00 1501.34 1518.68 1501.34 1516.35 8,916,000 1516.35

817 Apr 10/00 1516.35 1527.19 1503.35 1504.46 8,537,000 1504.46

818 Apr 11/00 1504.46 1512.80 1486.78 1500.59 9,714,000 1500.59

819 Apr 12/00 1500.59 1509.08 1466.15 1467.17 11,759,000 1467.17

820 Apr 13/00 1467.17 1477.52 1439.34 1440.51 10,320,000 1440.51

821 Apr 14/00 1440.51 1440.51 1339.40 1356.56 12,797,000 1356.56

822 Apr 17/00 1356.56 1401.53 1346.50 1401.44 12,047,000 1401.44

823 Apr 18/00 1401.44 1441.61 1397.81 1441.61 11,094,000 1441.61

824 Apr 19/00 1441.61 1447.69 1424.26 1427.47 10,014,000 1427.47

825 Apr 20/00 1427.47 1435.49 1422.08 1434.54 8,962,000 1434.54

826 Apr 24/00 1434.54 1434.54 1407.13 1429.86 8,687,000 1429.86

827 Apr 25/00 1429.86 1477.67 1429.86 1477.44 10,711,000 1477.44

828 Apr 26/00 1477.44 1482.94 1456.98 1460.99 9,996,000 1460.99

829 Apr 27/00 1460.99 1469.21 1434.81 1464.92 11,110,000 1464.92

830 Apr 28/00 1464.92 1473.62 1448.15 1452.43 9,846,000 1452.43

831 May 1/00 1452.43 1481.51 1452.43 1468.25 9,663,000 1468.25

832 May 2/00 1468.25 1468.25 1445.22 1446.29 10,115,000 1446.29

833 May 3/00 1446.29 1446.29 1398.36 1415.10 9,916,000 1415.10

834 May 4/00 1415.10 1420.99 1404.94 1409.57 9,258,000 1409.57

835 May 5/00 1409.57 1436.03 1405.08 1432.63 8,055,000 1432.63

836 May 8/00 1432.63 1432.63 1417.05 1424.17 7,876,000 1424.17

837 May 9/00 1424.17 1430.28 1401.85 1412.14 8,966,000 1412.14

838 May 10/00 1412.14 1412.14 1375.14 1383.05 10,064,000 1383.05

839 May 11/00 1383.05 1410.26 1383.05 1407.81 9,536,000 1407.81

840 May 12/00 1407.81 1430.13 1407.81 1420.96 8,582,000 1420.96

841 May 15/00 1420.96 1452.39 1416.54 1452.36 8,546,000 1452.36

842 May 16/00 1452.36 1470.40 1450.76 1466.04 9,555,000 1466.04

843 May 17/00 1466.04 1466.04 1441.67 1447.80 8,205,000 1447.80

844 May 18/00 1447.80 1458.04 1436.59 1437.21 8,079,000 1437.21

845 May 19/00 1437.21 1437.21 1401.74 1406.95 8,537,000 1406.95

846 May 22/00 1406.95 1410.55 1368.73 1400.72 8,690,000 1400.72

847 May 23/00 1400.72 1403.77 1373.43 1373.86 8,699,000 1373.86

848 May 24/00 1373.86 1401.75 1361.09 1399.05 11,523,000 1399.05

849 May 25/00 1399.05 1411.65 1373.93 1381.52 9,845,000 1381.52

850 May 26/00 1381.52 1391.42 1369.75 1378.02 7,226,000 1378.02

851 May 30/00 1378.02 1422.45 1378.02 1422.45 8,442,000 1422.45

852 May 31/00 1422.44 1434.49 1415.50 1420.60 9,605,000 1420.60

853 Jun 1/00 1420.60 1448.81 1420.60 1448.81 9,601,000 1448.81

854 Jun 2/00 1448.81 1483.23 1448.81 1477.26 11,624,000 1477.26

855 Jun 5/00 1477.26 1477.28 1464.68 1467.63 8,386,000 1467.63

856 Jun 6/00 1467.63 1471.36 1454.74 1457.84 9,501,000 1457.84

857 Jun 7/00 1457.84 1474.64 1455.06 1471.36 8,546,000 1471.36

858 Jun 8/00 1471.36 1475.65 1456.49 1461.67 8,543,000 1461.67

Page 20: GARCH Example

859 Jun 9/00 1461.67 1472.67 1454.96 1456.95 7,860,000 1456.95

860 Jun 12/00 1456.95 1462.93 1445.99 1446.00 7,741,000 1446.00

861 Jun 13/00 1446.00 1470.42 1442.38 1469.44 9,359,000 1469.44

862 Jun 14/00 1469.44 1483.62 1467.71 1470.54 9,297,000 1470.54

863 Jun 15/00 1470.54 1482.04 1464.62 1478.73 10,114,000 1478.73

864 Jun 16/00 1478.73 1480.77 1460.42 1464.46 12,508,000 1464.46

865 Jun 19/00 1464.46 1488.93 1459.05 1486.00 9,217,000 1486.00

866 Jun 20/00 1486.00 1487.32 1470.18 1475.95 10,315,000 1475.95

867 Jun 21/00 1475.95 1482.19 1468.00 1479.13 10,096,000 1479.13

868 Jun 22/00 1479.13 1479.13 1448.03 1452.18 10,227,000 1452.18

869 Jun 23/00 1452.18 1459.94 1438.31 1441.48 8,476,000 1441.48

870 Jun 26/00 1441.48 1459.66 1441.48 1455.31 8,890,000 1455.31

871 Jun 27/00 1455.31 1463.35 1450.55 1450.55 10,425,000 1450.55

872 Jun 28/00 1450.55 1467.63 1450.55 1454.82 10,951,000 1454.82

873 Jun 29/00 1454.82 1455.14 1434.63 1442.39 11,109,000 1442.39

874 Jun 30/00 1442.39 1454.68 1438.71 1454.60 14,597,000 1454.60

875 Jul 3/00 1454.60 1469.58 1450.85 1469.54 4,519,000 1469.54

876 Jul 5/00 1469.54 1469.54 1442.45 1446.23 10,193,000 1446.23

877 Jul 6/00 1446.23 1461.65 1439.56 1456.67 9,473,000 1456.67

878 Jul 7/00 1456.67 1484.12 1456.67 1478.90 9,317,000 1478.90

879 Jul 10/00 1478.90 1486.56 1474.76 1475.62 8,387,000 1475.62

880 Jul 11/00 1475.62 1488.77 1470.48 1480.88 9,805,000 1480.88

881 Jul 12/00 1480.88 1497.69 1480.88 1492.92 10,012,000 1492.92

882 Jul 13/00 1492.92 1501.39 1489.65 1495.84 10,268,000 1495.84

883 Jul 14/00 1495.84 1509.99 1494.56 1509.98 9,606,000 1509.98

884 Jul 17/00 1509.98 1517.32 1505.26 1510.49 9,060,000 1510.49

885 Jul 18/00 1510.49 1510.49 1491.35 1493.74 9,083,000 1493.74

886 Jul 19/00 1493.74 1495.63 1479.92 1481.96 9,094,000 1481.96

887 Jul 20/00 1481.96 1501.92 1481.96 1495.57 10,646,000 1495.57

888 Jul 21/00 1495.57 1495.57 1477.91 1480.19 9,683,000 1480.19

889 Jul 24/00 1480.19 1485.88 1463.80 1464.29 8,803,000 1464.29

890 Jul 25/00 1464.29 1476.23 1464.29 1474.47 9,694,000 1474.47

891 Jul 26/00 1474.47 1474.47 1452.42 1452.42 12,358,000 1452.42

892 Jul 27/00 1452.42 1464.91 1445.33 1449.62 11,564,000 1449.62

893 Jul 28/00 1449.62 1456.68 1413.89 1419.89 9,800,000 1419.89

894 Jul 31/00 1419.89 1437.65 1418.71 1430.83 9,526,000 1430.83

895 Aug 1/00 1430.83 1443.54 1428.96 1438.10 9,387,000 1438.10

896 Aug 2/00 1438.10 1451.59 1433.49 1438.70 9,945,000 1438.70

897 Aug 3/00 1438.70 1454.19 1425.43 1452.56 10,956,000 1452.56

898 Aug 4/00 1452.56 1462.93 1451.31 1462.93 9,560,000 1462.93

899 Aug 7/00 1462.93 1480.80 1460.72 1479.32 8,548,000 1479.32

900 Aug 8/00 1479.32 1484.52 1472.61 1482.80 9,922,000 1482.80

901 Aug 9/00 1482.80 1490.33 1471.16 1472.87 10,540,000 1472.87

902 Aug 10/00 1472.87 1475.15 1459.89 1460.25 9,408,000 1460.25

903 Aug 11/00 1460.25 1475.72 1453.06 1471.84 8,355,000 1471.84

904 Aug 14/00 1471.84 1491.64 1468.56 1491.56 7,838,000 1491.56

905 Aug 15/00 1491.56 1493.12 1482.74 1484.43 8,959,000 1484.43

906 Aug 16/00 1484.43 1496.09 1475.74 1479.85 9,298,000 1479.85

907 Aug 17/00 1479.85 1499.32 1479.85 1496.07 9,224,000 1496.07

908 Aug 18/00 1496.07 1499.47 1488.99 1491.72 8,214,000 1491.72

909 Aug 21/00 1491.72 1502.84 1491.13 1499.48 7,316,000 1499.48

Page 21: GARCH Example

910 Aug 22/00 1499.48 1508.45 1497.42 1498.13 8,188,000 1498.13

911 Aug 23/00 1498.13 1507.20 1489.52 1505.97 8,710,000 1505.97

912 Aug 24/00 1505.97 1511.16 1501.25 1508.31 8,371,000 1508.31

913 Aug 25/00 1508.31 1513.47 1505.09 1506.45 6,856,000 1506.45

914 Aug 28/00 1506.45 1523.95 1506.45 1514.09 7,336,000 1514.09

915 Aug 29/00 1514.09 1514.81 1505.46 1509.84 7,956,000 1509.84

916 Aug 30/00 1509.84 1510.49 1500.09 1502.59 8,184,000 1502.59

917 Aug 31/00 1502.59 1525.21 1502.59 1517.68 10,566,000 1517.68

918 Sep 1/00 1517.68 1530.09 1515.53 1520.77 7,677,000 1520.77

919 Sep 5/00 1520.77 1520.77 1504.21 1507.08 8,385,000 1507.08

920 Sep 6/00 1507.08 1512.61 1492.12 1492.25 9,951,000 1492.25

921 Sep 7/00 1492.25 1505.34 1492.25 1502.51 9,855,000 1502.51

922 Sep 8/00 1502.51 1502.51 1489.88 1494.50 9,610,000 1494.50

923 Sep 11/00 1494.50 1506.76 1483.01 1489.26 8,993,000 1489.26

924 Sep 12/00 1489.26 1496.93 1479.67 1481.99 9,912,000 1481.99

925 Sep 13/00 1481.99 1487.45 1473.61 1484.91 10,683,000 1484.91

926 Sep 14/00 1484.91 1494.16 1476.73 1480.87 10,140,000 1480.87

927 Sep 15/00 1480.87 1480.96 1460.22 1465.81 12,684,000 1465.81

928 Sep 18/00 1465.81 1467.77 1441.92 1444.51 9,625,000 1444.51

929 Sep 19/00 1444.51 1461.16 1444.51 1459.90 10,249,000 1459.90

930 Sep 20/00 1459.90 1460.49 1430.95 1451.34 11,040,000 1451.34

931 Sep 21/00 1451.34 1452.77 1436.30 1449.05 11,054,000 1449.05

932 Sep 22/00 1449.05 1449.05 1421.88 1448.72 11,855,000 1448.72

933 Sep 25/00 1448.72 1457.42 1435.93 1439.03 9,824,000 1439.03

934 Sep 26/00 1439.03 1448.04 1425.25 1427.21 11,066,000 1427.21

935 Sep 27/00 1427.21 1437.22 1419.44 1426.57 11,747,000 1426.57

936 Sep 28/00 1426.57 1461.69 1425.78 1458.29 12,062,000 1458.29

937 Sep 29/00 1458.29 1458.29 1436.29 1436.51 11,971,000 1436.51

938 Oct 2/00 1436.52 1445.60 1429.83 1436.23 10,512,000 1436.23

939 Oct 3/00 1436.23 1454.82 1425.28 1426.46 10,981,000 1426.46

940 Oct 4/00 1426.46 1439.99 1416.31 1434.32 11,674,000 1434.32

941 Oct 5/00 1434.32 1444.17 1431.80 1436.28 11,761,000 1436.28

942 Oct 6/00 1436.28 1443.30 1397.06 1408.99 11,501,000 1408.99

943 Oct 9/00 1408.99 1409.69 1392.48 1402.03 7,166,000 1402.03

944 Oct 10/00 1402.03 1408.83 1383.85 1387.02 10,440,000 1387.02

945 Oct 11/00 1387.02 1387.02 1349.67 1364.59 13,875,000 1364.59

946 Oct 12/00 1364.59 1374.93 1328.06 1329.78 13,886,000 1329.78

947 Oct 13/00 1329.78 1374.17 1327.08 1374.17 12,239,000 1374.17

948 Oct 16/00 1374.17 1379.48 1365.06 1374.62 10,054,000 1374.62

949 Oct 17/00 1374.62 1380.99 1342.34 1349.97 11,615,000 1349.97

950 Oct 18/00 1349.97 1356.65 1305.79 1342.13 14,417,000 1342.13

951 Oct 19/00 1342.13 1389.93 1342.13 1388.76 12,979,000 1388.76

952 Oct 20/00 1388.76 1408.47 1382.19 1396.93 11,774,000 1396.93

953 Oct 23/00 1396.93 1406.96 1387.75 1395.78 10,468,000 1395.78

954 Oct 24/00 1395.78 1415.64 1388.13 1398.13 11,586,000 1398.13

955 Oct 25/00 1398.13 1398.13 1362.21 1364.90 13,156,000 1364.90

956 Oct 26/00 1364.90 1372.72 1337.81 1364.44 13,038,000 1364.44

957 Oct 27/00 1364.44 1384.57 1364.13 1379.58 10,863,000 1379.58

958 Oct 30/00 1379.58 1406.36 1376.86 1398.66 11,865,000 1398.66

959 Oct 31/00 1398.66 1432.22 1398.66 1429.40 13,664,000 1429.40

960 Nov 1/00 1429.40 1429.60 1410.45 1421.22 12,068,000 1421.22

Page 22: GARCH Example

961 Nov 2/00 1421.22 1433.40 1421.22 1428.32 11,677,000 1428.32

962 Nov 3/00 1428.32 1433.21 1420.92 1426.69 9,977,000 1426.69

963 Nov 6/00 1428.76 1438.46 1427.72 1432.19 9,309,000 1432.19

964 Nov 7/00 1432.19 1436.22 1423.26 1431.87 8,809,000 1431.87

965 Nov 8/00 1431.87 1437.28 1408.78 1409.28 9,093,000 1409.28

966 Nov 9/00 1409.28 1409.28 1369.68 1400.14 11,110,000 1400.14

967 Nov 10/00 1400.14 1400.14 1365.97 1365.98 9,625,000 1365.98

968 Nov 13/00 1365.98 1365.98 1328.62 1351.26 11,293,000 1351.26

969 Nov 14/00 1351.26 1390.06 1351.26 1382.95 11,188,000 1382.95

970 Nov 15/00 1382.95 1395.96 1374.75 1389.81 10,668,000 1389.81

971 Nov 16/00 1389.81 1394.76 1370.39 1372.32 9,563,000 1372.32

972 Nov 17/00 1372.32 1384.85 1355.55 1367.72 10,704,000 1367.72

973 Nov 20/00 1367.72 1367.72 1341.67 1342.62 9,558,000 1342.62

974 Nov 21/00 1342.62 1355.87 1333.62 1347.35 11,371,000 1347.35

975 Nov 22/00 1347.35 1347.35 1321.89 1322.36 9,632,000 1322.36

976 Nov 24/00 1322.36 1343.83 1322.36 1341.77 4,048,700 1341.77

977 Nov 27/00 1341.77 1362.50 1341.77 1348.97 9,461,000 1348.97

978 Nov 28/00 1348.97 1358.81 1334.97 1336.09 10,282,000 1336.09

979 Nov 29/00 1336.09 1352.38 1329.28 1341.93 4,021,000 1341.93

980 Nov 30/00 1341.91 1341.91 1294.90 1314.95 11,865,300 1314.95

981 Dec 1/00 1314.95 1334.67 1307.02 1315.23 11,952,000 1315.23

982 Dec 4/00 1315.18 1332.06 1310.23 1324.97 11,030,000 1324.97

983 Dec 5/00 1324.97 1376.56 1324.97 1376.54 9,003,000 1376.54

984 Dec 6/00 1376.54 1376.54 1346.15 1351.46 13,993,000 1351.46

985 Dec 7/00 1351.46 1353.50 1339.26 1343.55 11,280,000 1343.55

986 Dec 8/00 1343.55 1380.33 1343.55 1369.89 13,583,000 1369.89

987 Dec 11/00 1369.89 1389.05 1364.14 1380.20 12,024,000 1380.20

988 Dec 12/00 1380.20 1380.27 1370.27 1371.18 10,834,000 1371.18

989 Dec 13/00 1371.18 1385.82 1358.48 1359.99 11,951,000 1359.99

990 Dec 14/00 1359.99 1359.99 1340.48 1340.93 10,613,000 1340.93

991 Dec 15/00 1340.93 1340.93 1305.38 1312.15 15,611,000 1312.15

992 Dec 18/00 1312.15 1332.32 1312.15 1322.74 11,899,000 1322.74

993 Dec 19/00 1322.96 1346.44 1305.20 1305.60 13,249,000 1305.60

994 Dec 20/00 1305.60 1305.60 1261.16 1264.74 14,216,000 1264.74

995 Dec 21/00 1264.74 1285.31 1254.07 1274.86 14,499,000 1274.86

996 Dec 22/00 1274.86 1305.97 1274.86 1305.95 10,871,000 1305.95

997 Dec 26/00 1305.97 1315.94 1301.64 1315.19 8,065,000 1315.19

998 Dec 27/00 1315.19 1332.03 1310.96 1328.92 10,927,000 1328.92

999 Dec 28/00 1328.92 1335.93 1325.78 1334.22 10,153,000 1334.22

1000 Dec 29/00 1334.22 1340.10 1317.51 1320.28 10,355,000 1320.28

1001 Jan 2/01 1320.28 1320.28 1276.05 1283.27 11,294,000 1283.27

1002 Jan 3/01 1283.27 1347.76 1274.62 1347.56 18,807,000 1347.56

1003 Jan 4/01 1347.56 1350.24 1329.14 1333.34 21,310,000 1333.34

1004 Jan 5/01 1333.34 1334.77 1294.95 1298.35 14,308,000 1298.35

1005 Jan 8/01 1298.35 1298.35 1276.29 1295.86 11,155,000 1295.86

1006 Jan 9/01 1295.86 1311.72 1295.14 1300.80 11,913,000 1300.80

1007 Jan 10/01 1300.80 1313.76 1287.28 1313.27 12,965,000 1313.27

1008 Jan 11/01 1313.27 1332.19 1309.72 1326.82 14,112,000 1326.82

1009 Jan 12/01 1326.82 1333.21 1311.59 1318.55 12,760,000 1318.55

1010 Jan 16/01 1318.32 1327.81 1313.33 1326.65 12,057,000 1326.65

1011 Jan 17/01 1326.65 1346.92 1325.41 1329.47 13,491,000 1329.47

Page 23: GARCH Example

1012 Jan 18/01 1329.89 1352.71 1327.41 1347.97 14,450,000 1347.97

1013 Jan 19/01 1347.97 1354.55 1336.74 1342.54 14,078,000 1342.54

1014 Jan 22/01 1342.54 1353.62 1333.84 1342.90 11,640,000 1342.90

1015 Jan 23/01 1342.90 1362.90 1339.63 1360.40 12,326,000 1360.40

1016 Jan 24/01 1360.40 1369.75 1357.28 1364.30 13,090,000 1364.30

1017 Jan 25/01 1364.30 1367.35 1354.63 1357.51 12,580,000 1357.51

1018 Jan 26/01 1357.51 1357.51 1342.75 1354.95 10,980,000 1354.95

1019 Jan 29/01 1354.92 1365.54 1350.36 1364.17 10,531,000 1364.17

1020 Jan 30/01 1364.17 1375.68 1356.20 1373.73 11,498,000 1373.73

1021 Jan 31/01 1373.73 1383.37 1364.66 1366.01 12,953,000 1366.01

1022 Feb 1/01 1366.01 1373.50 1359.34 1373.47 11,188,000 1373.47

1023 Feb 2/01 1373.47 1376.38 1348.72 1349.47 10,484,000 1349.47

1024 Feb 5/01 1349.47 1354.56 1344.48 1354.31 10,130,000 1354.31

1025 Feb 6/01 1354.31 1363.55 1350.04 1352.26 10,596,000 1352.26

1026 Feb 7/01 1352.26 1352.26 1334.26 1340.89 11,583,000 1340.89

1027 Feb 8/01 1341.10 1350.32 1332.42 1332.53 11,072,000 1332.53

1028 Feb 9/01 1332.53 1332.53 1309.98 1314.76 10,755,000 1314.76

1029 Feb 12/01 1314.76 1330.96 1313.64 1330.31 10,391,000 1330.31

1030 Feb 13/01 1330.31 1336.62 1317.51 1318.80 10,752,000 1318.80

1031 Feb 14/01 1318.80 1320.73 1304.72 1315.92 11,503,000 1315.92

1032 Feb 15/01 1315.92 1331.29 1315.92 1326.61 11,537,000 1326.61

1033 Feb 16/01 1326.61 1326.61 1293.18 1301.53 12,572,000 1301.53

1034 Feb 20/01 1301.53 1307.16 1278.44 1278.94 11,122,000 1278.94

1035 Feb 21/01 1278.94 1282.97 1253.16 1255.27 12,085,000 1255.27

1036 Feb 22/01 1255.27 1259.94 1228.33 1252.82 13,659,000 1252.82

1037 Feb 23/01 1252.82 1252.82 1215.44 1245.86 12,313,000 1245.86

1038 Feb 26/01 1245.86 1267.69 1241.71 1267.65 11,308,000 1267.65

1039 Feb 27/01 1267.65 1272.76 1252.26 1257.94 11,141,000 1257.94

1040 Feb 28/01 1257.94 1263.47 1229.65 1239.94 12,253,000 1239.94

1041 Mar 1/01 1239.94 1241.36 1214.50 1241.23 12,949,000 1241.23

1042 Mar 2/01 1241.23 1251.01 1219.74 1234.18 12,940,000 1234.18

1043 Mar 5/01 1234.18 1242.55 1234.04 1241.41 9,292,000 1241.41

1044 Mar 6/01 1241.41 1267.42 1241.41 1253.80 10,918,000 1253.80

1045 Mar 7/01 1253.80 1263.86 1253.80 1261.89 11,322,000 1261.89

1046 Mar 8/01 1261.89 1266.50 1257.60 1264.74 11,141,000 1264.74

1047 Mar 9/01 1264.74 1264.74 1228.42 1233.42 10,859,000 1233.42

1048 Mar 12/01 1233.42 1233.42 1176.78 1180.16 12,290,000 1180.16

1049 Mar 13/01 1180.16 1197.83 1171.50 1197.66 13,609,000 1197.66

1050 Mar 14/01 1197.66 1197.66 1155.35 1166.71 13,974,000 1166.71

1051 Mar 15/01 1166.71 1182.04 1166.71 1173.56 12,595,000 1173.56

1052 Mar 16/01 1173.56 1173.56 1148.64 1150.53 15,435,600 1150.53

1053 Mar 19/01 1150.53 1173.50 1147.18 1170.81 11,262,000 1170.81

1054 Mar 20/01 1170.81 1180.56 1142.19 1142.62 12,359,000 1142.62

1055 Mar 21/01 1142.62 1149.39 1118.74 1122.14 13,463,000 1122.14

1056 Mar 22/01 1122.14 1124.27 1081.19 1117.58 17,239,500 1117.58

1057 Mar 23/01 1117.58 1141.83 1117.58 1139.83 13,649,000 1139.83

1058 Mar 26/01 1139.83 1160.02 1139.83 1152.69 11,140,000 1152.69

1059 Mar 27/01 1152.69 1183.35 1150.96 1182.17 13,142,000 1182.17

1060 Mar 28/01 1182.17 1182.17 1147.83 1153.29 13,334,000 1153.29

1061 Mar 29/01 1153.29 1161.69 1136.26 1147.95 12,345,000 1147.95

1062 Mar 30/01 1147.95 1162.80 1143.83 1160.33 12,808,000 1160.33

Page 24: GARCH Example

1063 Apr 2/01 1160.33 1169.51 1137.51 1145.87 12,549,000 1145.87

1064 Apr 3/01 1145.87 1145.87 1100.19 1106.46 13,861,000 1106.46

1065 Apr 4/01 1106.46 1117.50 1091.99 1103.25 14,255,900 1103.25

1066 Apr 5/01 1103.25 1151.47 1103.25 1151.44 13,680,000 1151.44

1067 Apr 6/01 1151.44 1151.44 1119.29 1128.43 12,668,000 1128.43

1068 Apr 9/01 1128.43 1146.13 1126.38 1137.59 10,628,000 1137.59

1069 Apr 10/01 1137.59 1173.92 1137.59 1168.38 13,496,000 1168.38

1070 Apr 11/01 1168.38 1182.24 1160.26 1165.89 12,903,000 1165.89

1071 Apr 12/01 1165.89 1183.51 1157.73 1183.50 11,020,000 1183.50

1072 Apr 16/01 1183.50 1184.64 1167.38 1179.68 9,139,000 1179.68

1073 Apr 17/01 1179.68 1192.25 1168.90 1191.81 11,096,000 1191.81

1074 Apr 18/01 1191.81 1248.42 1191.81 1238.16 19,189,000 1238.16

1075 Apr 19/01 1238.16 1253.71 1233.39 1253.69 14,868,000 1253.69

1076 Apr 20/01 1253.70 1253.70 1234.41 1242.98 13,387,000 1242.98

1077 Apr 23/01 1242.98 1242.98 1217.47 1224.36 10,126,000 1224.36

1078 Apr 24/01 1224.36 1233.54 1208.89 1209.47 12,165,000 1209.47

1079 Apr 25/01 1209.47 1232.36 1207.38 1228.75 12,036,000 1228.75

1080 Apr 26/01 1228.75 1248.30 1228.75 1234.52 13,452,000 1234.52

1081 Apr 27/01 1234.52 1253.07 1234.52 1253.05 10,913,000 1253.05

1082 Apr 30/01 1253.05 1269.30 1243.99 1249.46 12,668,000 1249.46

1083 May 1/01 1249.46 1266.47 1243.55 1266.44 11,813,000 1266.44

1084 May 2/01 1266.44 1272.93 1257.70 1267.43 13,422,000 1267.43

1085 May 3/01 1267.43 1267.43 1239.88 1248.58 11,379,000 1248.58

1086 May 4/01 1248.58 1267.51 1232.00 1266.61 10,821,000 1266.61

1087 May 7/01 1266.61 1270.00 1259.19 1263.51 9,490,000 1263.51

1088 May 8/01 1266.71 1267.01 1253.00 1261.20 10,063,000 1261.20

1089 May 9/01 1261.20 1261.65 1247.83 1255.54 11,324,000 1255.54

1090 May 10/01 1255.54 1268.14 1254.56 1255.18 10,567,000 1255.18

1091 May 11/01 1255.18 1259.84 1240.79 1245.67 9,062,000 1245.67

1092 May 14/01 1245.67 1249.68 1241.02 1248.92 8,582,000 1248.92

1093 May 15/01 1248.92 1257.45 1245.36 1249.44 10,718,000 1249.44

1094 May 16/01 1249.44 1286.39 1243.02 1284.99 14,053,000 1284.99

1095 May 17/01 1284.99 1296.48 1282.65 1288.49 13,556,000 1288.49

1096 May 18/01 1288.49 1292.06 1281.15 1291.96 11,308,000 1291.96

1097 May 21/01 1291.96 1312.95 1287.87 1312.83 11,749,000 1312.83

1098 May 22/01 1312.83 1315.93 1306.89 1309.38 12,604,000 1309.38

1099 May 23/01 1309.38 1309.38 1288.70 1289.05 11,348,000 1289.05

1100 May 24/01 1289.05 1295.04 1281.22 1293.17 11,007,000 1293.17

1101 May 25/01 1293.17 1293.17 1276.42 1277.89 8,281,000 1277.89

1102 May 29/01 1277.89 1278.42 1265.41 1267.93 10,260,000 1267.93

1103 May 30/01 1267.93 1267.93 1245.96 1248.08 11,586,000 1248.08

1104 May 31/01 1248.08 1261.91 1248.07 1255.82 12,266,000 1255.82

1105 Jun 1/01 1255.82 1265.34 1246.88 1260.67 10,150,000 1260.67

1106 Jun 4/01 1260.67 1267.17 1256.36 1267.11 8,365,000 1267.11

1107 Jun 5/01 1267.11 1286.62 1267.11 1283.57 11,168,000 1283.57

1108 Jun 6/01 1283.57 1283.85 1269.01 1270.03 10,619,000 1270.03

1109 Jun 7/01 1270.03 1277.08 1265.08 1276.96 10,896,000 1276.96

1110 Jun 8/01 1276.96 1277.11 1259.99 1264.96 7,262,000 1264.96

1111 Jun 11/01 1264.96 1264.96 1249.23 1254.39 8,701,000 1254.39

1112 Jun 12/01 1254.39 1261.00 1235.75 1255.85 11,365,000 1255.85

1113 Jun 13/01 1255.85 1259.75 1241.59 1241.60 10,636,000 1241.60

Page 25: GARCH Example

1114 Jun 14/01 1241.60 1241.60 1218.90 1219.87 12,429,000 1219.87

1115 Jun 15/01 1219.87 1221.50 1203.03 1214.36 16,355,500 1214.36

1116 Jun 18/01 1214.36 1221.23 1208.33 1208.43 11,116,000 1208.43

1117 Jun 19/01 1208.43 1226.11 1207.71 1212.58 11,849,000 1212.58

1118 Jun 20/01 1212.58 1225.61 1210.07 1223.14 13,501,000 1223.14

1119 Jun 21/01 1223.14 1240.24 1220.25 1237.04 15,468,200 1237.04

1120 Jun 22/01 1237.04 1237.73 1221.41 1225.35 11,892,000 1225.35

1121 Jun 25/01 1225.35 1231.50 1213.60 1218.60 10,501,000 1218.60

1122 Jun 26/01 1218.60 1220.70 1204.64 1216.76 11,989,000 1216.76

1123 Jun 27/01 1216.76 1219.92 1207.29 1211.07 11,621,000 1211.07

1124 Jun 28/01 1211.07 1234.44 1211.07 1226.20 13,273,000 1226.20

1125 Jun 29/01 1226.20 1237.29 1221.14 1224.38 18,323,600 1224.38

1126 Jul 2/01 1224.42 1239.78 1224.03 1236.72 11,283,000 1236.72

1127 Jul 3/01 1236.71 1236.71 1229.43 1234.45 6,221,100 1234.45

1128 Jul 5/01 1234.45 1234.45 1219.15 1219.24 9,349,000 1219.24

1129 Jul 6/01 1219.24 1219.24 1188.74 1190.59 10,567,000 1190.59

1130 Jul 9/01 1190.59 1201.76 1189.75 1198.78 10,457,000 1198.78

1131 Jul 10/01 1198.78 1203.43 1179.93 1181.52 12,638,000 1181.52

1132 Jul 11/01 1181.52 1184.93 1168.46 1180.18 13,841,000 1180.18

1133 Jul 12/01 1180.18 1210.25 1180.18 1208.14 13,940,000 1208.14

1134 Jul 13/01 1208.14 1218.54 1203.61 1215.68 11,217,000 1215.68

1135 Jul 16/01 1215.68 1219.63 1200.05 1202.45 10,398,000 1202.45

1136 Jul 17/01 1202.45 1215.36 1196.14 1214.44 12,381,000 1214.44

1137 Jul 18/01 1214.44 1214.44 1198.33 1207.71 13,163,000 1207.71

1138 Jul 19/01 1207.71 1225.04 1205.80 1215.02 13,435,000 1215.02

1139 Jul 20/01 1215.02 1215.69 1207.04 1210.85 11,709,000 1210.85

1140 Jul 23/01 1210.85 1215.22 1190.50 1191.03 9,869,000 1191.03

1141 Jul 24/01 1191.03 1191.03 1165.54 1171.65 11,987,000 1171.65

1142 Jul 25/01 1171.65 1190.52 1171.28 1190.49 12,807,000 1190.49

1143 Jul 26/01 1190.49 1204.18 1182.65 1202.93 12,139,000 1202.93

1144 Jul 27/01 1202.93 1209.26 1195.99 1205.82 10,153,000 1205.82

1145 Jul 30/01 1205.82 1209.05 1200.41 1204.52 9,091,000 1204.52

1146 Jul 31/01 1204.52 1222.74 1204.52 1211.23 11,292,000 1211.23

1147 Aug 1/01 1211.23 1223.04 1211.23 1215.93 13,403,000 1215.93

1148 Aug 2/01 1215.93 1226.27 1215.31 1220.75 12,183,000 1220.75

1149 Aug 3/01 1220.75 1220.75 1205.31 1214.35 9,399,000 1214.35

1150 Aug 6/01 1214.35 1214.35 1197.35 1200.48 8,117,000 1200.48

1151 Aug 7/01 1200.47 1207.56 1195.64 1204.40 10,120,000 1204.40

1152 Aug 8/01 1204.40 1206.79 1181.27 1183.53 11,246,000 1183.53

1153 Aug 9/01 1183.53 1184.71 1174.68 1183.43 11,042,000 1183.43

1154 Aug 10/01 1183.43 1193.33 1169.55 1190.16 9,609,000 1190.16

1155 Aug 13/01 1190.16 1193.82 1185.12 1191.29 8,376,000 1191.29

1156 Aug 14/01 1191.29 1198.79 1184.26 1186.73 9,646,000 1186.73

1157 Aug 15/01 1186.73 1191.21 1177.61 1178.02 10,656,000 1178.02

1158 Aug 16/01 1178.02 1181.80 1166.08 1181.66 10,554,000 1181.66

1159 Aug 17/01 1181.66 1181.66 1156.07 1161.97 9,743,000 1161.97

1160 Aug 20/01 1161.97 1171.41 1160.94 1171.41 8,971,000 1171.41

1161 Aug 21/01 1171.41 1179.85 1156.56 1157.26 10,416,000 1157.26

1162 Aug 22/01 1157.26 1168.56 1153.34 1165.31 11,108,000 1165.31

1163 Aug 23/01 1165.31 1169.86 1160.96 1162.09 9,862,000 1162.09

1164 Aug 24/01 1162.09 1185.15 1162.09 1184.93 10,436,000 1184.93

Page 26: GARCH Example

1165 Aug 27/01 1184.93 1186.85 1178.07 1179.21 8,426,000 1179.21

1166 Aug 28/01 1179.21 1179.66 1161.17 1161.51 9,871,000 1161.51

1167 Aug 29/01 1161.51 1166.97 1147.38 1148.56 9,637,000 1148.56

1168 Aug 30/01 1148.60 1151.75 1124.87 1129.03 11,570,000 1129.03

1169 Aug 31/01 1129.03 1141.83 1126.38 1133.58 9,201,000 1133.58

1170 Sep 4/01 1133.58 1155.40 1129.06 1132.94 11,783,000 1132.94

1171 Sep 5/01 1132.94 1135.52 1114.86 1131.74 13,845,000 1131.74

1172 Sep 6/01 1131.74 1131.74 1105.83 1106.40 13,597,000 1106.40

1173 Sep 7/01 1106.40 1106.40 1082.12 1085.78 14,243,000 1085.78

1174 Sep 10/01 1085.78 1096.94 1073.15 1092.54 12,766,000 1092.54

1175 Sep 17/01 1092.54 1092.54 1037.46 1038.77 23,308,300 1038.77

1176 Sep 18/01 1038.77 1046.42 1029.25 1032.74 16,504,100 1032.74

1177 Sep 19/01 1032.74 1038.91 984.62 1016.10 21,205,500 1016.10

1178 Sep 20/01 1016.10 1016.10 984.49 984.54 20,048,000 984.54

1179 Sep 21/01 984.54 984.54 944.75 965.80 23,173,000 965.80

1180 Sep 24/01 965.80 1008.44 965.80 1003.45 17,466,000 1003.45

1181 Sep 25/01 1003.45 1017.14 998.33 1012.27 16,138,000 1012.27

1182 Sep 26/01 1012.27 1020.29 1002.62 1007.04 15,191,000 1007.04

1183 Sep 27/01 1007.04 1018.92 998.24 1018.61 14,670,000 1018.61

1184 Sep 28/01 1018.61 1040.94 1018.61 1040.94 16,315,000 1040.94

1185 Oct 1/01 1040.94 1040.94 1026.76 1038.55 11,756,000 1038.55

1186 Oct 2/01 1038.55 1051.33 1034.47 1051.33 12,898,000 1051.33

1187 Oct 3/01 1051.33 1075.38 1041.48 1072.28 16,506,000 1072.28

1188 Oct 4/01 1072.28 1084.12 1067.82 1069.63 16,091,000 1069.63

1189 Oct 5/01 1069.62 1072.35 1053.50 1071.38 13,017,000 1071.38

1190 Oct 8/01 1071.37 1071.37 1056.88 1062.44 9,790,000 1062.44

1191 Oct 9/01 1062.44 1063.37 1053.83 1056.75 12,278,000 1056.75

1192 Oct 10/01 1056.75 1081.62 1052.76 1080.99 13,124,000 1080.99

1193 Oct 11/01 1080.99 1099.16 1080.99 1097.43 17,045,800 1097.43

1194 Oct 12/01 1097.43 1097.43 1072.15 1091.65 13,314,000 1091.65

1195 Oct 15/01 1091.65 1091.65 1078.19 1089.98 10,247,000 1089.98

1196 Oct 16/01 1089.98 1101.66 1087.13 1097.54 12,105,000 1097.54

1197 Oct 17/01 1097.54 1107.12 1076.57 1077.09 14,522,000 1077.09

1198 Oct 18/01 1077.09 1077.94 1064.54 1068.61 12,629,000 1068.61

1199 Oct 19/01 1068.61 1075.52 1057.24 1073.48 12,949,000 1073.48

1200 Oct 22/01 1073.48 1090.57 1070.79 1089.90 11,057,000 1089.90

1201 Oct 23/01 1089.90 1098.99 1081.53 1084.78 13,173,000 1084.78

1202 Oct 24/01 1084.78 1090.26 1079.98 1085.20 13,362,000 1085.20

1203 Oct 25/01 1085.20 1100.09 1065.64 1100.09 13,644,000 1100.09

1204 Oct 26/01 1100.09 1110.61 1094.24 1104.61 12,445,000 1104.61

1205 Oct 29/01 1104.61 1104.61 1078.30 1078.30 11,061,000 1078.30

1206 Oct 30/01 1078.30 1078.30 1053.61 1059.79 12,974,000 1059.79

1207 Oct 31/01 1059.79 1074.79 1057.55 1059.78 13,525,000 1059.78

1208 Nov 1/01 1059.78 1085.61 1054.31 1084.10 13,174,000 1084.10

1209 Nov 2/01 1084.10 1089.63 1075.58 1087.20 11,219,000 1087.20

1210 Nov 5/01 1087.20 1106.72 1087.20 1102.84 12,677,000 1102.84

1211 Nov 6/01 1102.84 1119.73 1095.36 1118.86 13,560,000 1118.86

1212 Nov 7/01 1118.86 1126.62 1112.98 1115.80 14,113,000 1115.80

1213 Nov 8/01 1115.80 1135.75 1115.42 1118.54 15,175,000 1118.54

1214 Nov 9/01 1118.54 1123.02 1111.13 1120.31 10,938,000 1120.31

1215 Nov 12/01 1120.31 1121.71 1098.32 1118.33 9,916,000 1118.33

Page 27: GARCH Example

1216 Nov 13/01 1118.33 1139.14 1118.33 1139.09 13,701,000 1139.09

1217 Nov 14/01 1139.09 1148.28 1132.87 1141.21 14,434,000 1141.21

1218 Nov 15/01 1141.21 1146.46 1135.06 1142.24 14,545,000 1142.24

1219 Nov 16/01 1142.24 1143.52 1129.92 1138.65 13,374,000 1138.65

1220 Nov 19/01 1138.65 1151.06 1138.65 1151.06 13,168,000 1151.06

1221 Nov 20/01 1151.06 1152.45 1142.17 1142.66 13,302,000 1142.66

1222 Nov 21/01 1142.66 1142.66 1129.78 1137.03 10,293,000 1137.03

1223 Nov 23/01 1137.03 1151.05 1135.90 1150.34 4,103,000 1150.34

1224 Nov 26/01 1150.34 1157.88 1146.17 1157.42 11,298,000 1157.42

1225 Nov 27/01 1157.42 1163.38 1140.81 1149.50 12,880,000 1149.50

1226 Nov 28/01 1149.50 1149.50 1128.29 1128.52 14,237,000 1128.52

1227 Nov 29/01 1128.52 1140.40 1125.51 1140.20 13,757,000 1140.20

1228 Nov 30/01 1140.20 1143.57 1135.89 1139.45 13,436,000 1139.45

1229 Dec 3/01 1139.45 1139.45 1125.78 1129.90 12,029,000 1129.90

1230 Dec 4/01 1129.90 1144.80 1128.86 1144.80 13,185,000 1144.80

1231 Dec 5/01 1143.77 1173.62 1143.77 1170.35 17,653,000 1170.35

1232 Dec 6/01 1170.35 1173.35 1164.43 1167.10 14,879,000 1167.10

1233 Dec 7/01 1167.10 1167.10 1152.66 1158.31 12,482,000 1158.31

1234 Dec 10/01 1158.31 1158.31 1139.66 1139.93 12,187,000 1139.93

1235 Dec 11/01 1139.93 1150.89 1134.32 1136.76 13,672,000 1136.76

1236 Dec 12/01 1136.76 1141.58 1126.01 1137.07 14,497,000 1137.07

1237 Dec 13/01 1137.07 1137.07 1117.85 1119.38 15,115,000 1119.38

1238 Dec 14/01 1119.38 1128.28 1114.53 1123.09 13,068,000 1123.09

1239 Dec 17/01 1123.09 1137.30 1122.66 1134.36 12,604,000 1134.36

1240 Dec 18/01 1134.36 1145.10 1134.36 1142.92 13,540,000 1142.92

1241 Dec 19/01 1142.92 1152.44 1134.75 1149.56 14,849,000 1149.56

1242 Dec 20/01 1149.56 1151.42 1139.93 1139.93 14,905,000 1139.93

1243 Dec 21/01 1139.93 1147.46 1139.93 1144.89 16,940,000 1144.89

1244 Dec 24/01 1144.89 1147.83 1144.62 1144.65 4,396,700 1144.65

1245 Dec 26/01 1144.65 1159.18 1144.65 1149.37 7,911,000 1149.37

1246 Dec 27/01 1149.37 1157.13 1149.37 1157.13 8,763,000 1157.13

1247 Dec 28/01 1157.13 1164.64 1157.13 1161.02 9,174,000 1161.02

1248 Dec 31/01 1161.02 1161.16 1148.04 1148.08 9,436,000 1148.08

1249 Jan 2/02 1148.08 1154.67 1136.23 1154.67 11,710,000 1154.67

1250 Jan 3/02 1154.67 1165.27 1154.01 1165.27 13,989,000 1165.27

1251 Jan 4/02 1165.27 1176.55 1163.42 1172.51 15,130,000 1172.51

1252 Jan 7/02 1172.51 1176.97 1163.55 1164.89 13,083,000 1164.89

1253 Jan 8/02 1164.89 1167.60 1157.46 1160.71 12,588,000 1160.71

1254 Jan 9/02 1160.71 1174.26 1151.89 1155.14 14,520,000 1155.14

1255 Jan 10/02 1155.14 1159.93 1150.85 1156.55 12,990,000 1156.55

1256 Jan 11/02 1156.55 1159.41 1145.45 1145.60 12,119,000 1145.60

1257 Jan 14/02 1145.60 1145.60 1138.15 1138.41 12,864,000 1138.41

1258 Jan 15/02 1138.41 1148.81 1136.88 1146.19 13,869,000 1146.19

1259 Jan 16/02 1146.19 1146.19 1127.49 1127.57 14,825,000 1127.57

1260 Jan 17/02 1127.57 1139.27 1127.57 1138.88 13,801,000 1138.88

1261 Jan 18/02 1138.88 1138.88 1124.45 1127.58 13,333,000 1127.58

1262 Jan 22/02 1127.58 1135.26 1117.91 1119.31 13,116,000 1119.31

1263 Jan 23/02 1119.31 1131.94 1117.43 1128.18 14,792,000 1128.18

1264 Jan 24/02 1128.18 1139.50 1128.18 1132.15 15,528,000 1132.15

1265 Jan 25/02 1132.15 1138.31 1127.82 1133.28 13,451,000 1133.28

1266 Jan 28/02 1133.28 1138.63 1126.66 1133.06 11,868,000 1133.06

Page 28: GARCH Example

1267 Jan 29/02 1133.06 1137.47 1098.74 1100.64 18,120,000 1100.64

1268 Jan 30/02 1100.64 1113.79 1081.66 1113.57 20,196,000 1113.57

1269 Jan 31/02 1113.57 1130.21 1113.30 1130.20 15,570,000 1130.20

1270 Feb 1/02 1130.20 1130.20 1118.51 1122.20 13,672,000 1122.20

1271 Feb 4/02 1122.20 1122.20 1092.25 1094.44 14,376,000 1094.44

1272 Feb 5/02 1094.44 1100.96 1082.58 1090.02 17,783,000 1090.02

1273 Feb 6/02 1090.02 1093.58 1077.78 1083.51 16,658,000 1083.51

1274 Feb 7/02 1083.51 1094.03 1078.44 1080.17 14,416,000 1080.17

1275 Feb 8/02 1080.17 1096.30 1079.91 1096.22 13,719,000 1096.22

1276 Feb 11/02 1096.22 1112.01 1094.68 1111.94 11,594,000 1111.94

1277 Feb 12/02 1111.94 1112.68 1102.98 1107.50 10,942,000 1107.50

1278 Feb 13/02 1107.50 1120.56 1107.50 1118.51 12,159,000 1118.51

1279 Feb 14/02 1118.51 1124.72 1112.30 1116.48 12,725,000 1116.48

1280 Feb 15/02 1116.48 1117.09 1103.23 1104.18 13,592,000 1104.18

1281 Feb 19/02 1104.18 1104.18 1082.24 1083.34 11,899,000 1083.34

1282 Feb 20/02 1083.34 1098.32 1074.36 1097.98 14,389,000 1097.98

1283 Feb 21/02 1097.98 1101.50 1080.24 1080.95 13,816,000 1080.95

1284 Feb 22/02 1080.95 1093.93 1074.39 1089.84 14,110,000 1089.84

1285 Feb 25/02 1089.84 1112.71 1089.84 1109.43 13,674,000 1109.43

1286 Feb 26/02 1109.43 1115.05 1101.72 1109.38 13,092,000 1109.38

1287 Feb 27/02 1109.38 1123.06 1102.26 1109.89 13,938,000 1109.89

1288 Feb 28/02 1109.89 1121.57 1106.73 1106.73 13,922,000 1106.73

1289 Mar 1/02 1106.73 1131.79 1106.73 1131.78 14,565,000 1131.78

1290 Mar 4/02 1131.78 1153.84 1130.93 1153.84 15,943,000 1153.84

1291 Mar 5/02 1153.84 1157.74 1144.78 1146.14 15,493,000 1146.14

1292 Mar 6/02 1146.14 1165.29 1145.11 1162.77 15,413,000 1162.77

1293 Mar 7/02 1162.77 1167.94 1150.69 1157.54 15,174,000 1157.54

1294 Mar 8/02 1157.54 1172.76 1157.54 1164.31 14,120,000 1164.31

1295 Mar 11/02 1164.31 1173.03 1159.58 1168.26 12,102,000 1168.26

1296 Mar 12/02 1168.26 1168.26 1154.34 1165.58 13,044,000 1165.58

1297 Mar 13/02 1165.58 1165.58 1151.01 1154.09 13,540,000 1154.09

1298 Mar 14/02 1154.09 1157.83 1151.08 1153.04 12,088,000 1153.04

1299 Mar 15/02 1153.04 1166.48 1153.04 1166.16 14,939,000 1166.16

1300 Mar 18/02 1166.16 1172.73 1159.14 1165.55 11,695,000 1165.55

1301 Mar 19/02 1165.55 1173.94 1165.55 1170.29 12,550,000 1170.29

1302 Mar 20/02 1170.29 1170.29 1151.61 1151.85 13,049,000 1151.85

1303 Mar 21/02 1151.85 1155.10 1139.48 1153.59 13,392,000 1153.59

1304 Mar 22/02 1153.59 1156.49 1144.60 1148.70 12,433,000 1148.70

1305 Mar 25/02 1148.70 1151.04 1131.87 1131.87 10,579,000 1131.87

1306 Mar 26/02 1131.87 1147.00 1131.61 1138.49 12,236,000 1138.49

1307 Mar 27/02 1138.49 1146.95 1135.33 1144.58 11,801,000 1144.58

1308 Mar 28/02 1144.58 1154.45 1144.58 1147.39 11,476,000 1147.39

1309 Apr 1/02 1147.39 1147.84 1132.87 1146.54 10,509,000 1146.54

1310 Apr 2/02 1146.54 1146.54 1135.71 1136.76 11,767,000 1136.76

1311 Apr 3/02 1136.76 1138.85 1119.68 1125.40 12,197,000 1125.40

1312 Apr 4/02 1125.40 1130.45 1120.06 1126.34 12,838,000 1126.34

1313 Apr 5/02 1126.34 1133.31 1119.49 1122.73 11,102,000 1122.73

1314 Apr 8/02 1122.73 1125.41 1111.79 1125.29 10,953,000 1125.29

1315 Apr 9/02 1125.29 1128.29 1116.73 1117.80 12,354,000 1117.80

1316 Apr 10/02 1117.80 1131.76 1117.80 1130.47 14,479,000 1130.47

1317 Apr 11/02 1130.47 1130.47 1102.42 1103.69 15,056,000 1103.69

Page 29: GARCH Example

1318 Apr 12/02 1103.69 1112.77 1102.74 1111.01 12,821,000 1111.01

1319 Apr 15/02 1111.01 1114.86 1099.41 1102.55 11,204,000 1102.55

1320 Apr 16/02 1102.55 1129.40 1102.55 1128.37 13,413,000 1128.37

1321 Apr 17/02 1128.37 1133.00 1123.37 1126.07 13,769,000 1126.07

1322 Apr 18/02 1126.07 1130.49 1109.29 1124.47 13,593,000 1124.47

1323 Apr 19/02 1124.47 1128.82 1122.59 1125.17 11,850,000 1125.17

1324 Apr 22/02 1125.17 1125.17 1105.62 1107.83 11,818,000 1107.83

1325 Apr 23/02 1107.83 1111.17 1098.94 1100.96 13,885,000 1100.96

1326 Apr 24/02 1100.96 1108.46 1092.51 1093.14 13,732,000 1093.14

1327 Apr 25/02 1093.14 1094.36 1084.81 1091.48 15,174,000 1091.48

1328 Apr 26/02 1091.48 1096.77 1076.31 1076.32 13,742,000 1076.32

1329 Apr 29/02 1076.32 1078.95 1063.62 1065.45 13,147,000 1065.45

1330 Apr 30/02 1065.45 1082.62 1063.46 1076.92 16,286,000 1076.92

1331 May 1/02 1076.92 1088.32 1065.29 1086.46 14,514,000 1086.46

1332 May 2/02 1086.46 1091.42 1079.46 1084.56 13,640,000 1084.56

1333 May 3/02 1084.56 1084.56 1068.89 1073.43 12,845,000 1073.43

1334 May 6/02 1073.43 1075.96 1052.65 1052.67 11,226,000 1052.67

1335 May 7/02 1052.67 1058.67 1048.96 1049.49 13,547,000 1049.49

1336 May 8/02 1049.49 1088.92 1049.49 1088.85 15,020,000 1088.85

1337 May 9/02 1088.85 1088.85 1072.23 1073.01 11,530,000 1073.01

1338 May 10/02 1073.01 1075.43 1053.93 1054.99 11,719,000 1054.99

1339 May 13/02 1054.99 1074.84 1053.90 1074.56 10,886,000 1074.56

1340 May 14/02 1074.56 1097.71 1074.56 1097.28 14,145,000 1097.28

1341 May 15/02 1097.28 1104.23 1088.94 1091.07 14,202,000 1091.07

1342 May 16/02 1091.07 1099.29 1089.17 1098.23 12,566,000 1098.23

1343 May 17/02 1098.23 1106.59 1096.77 1106.59 12,744,000 1106.59

1344 May 20/02 1106.59 1106.59 1090.61 1091.88 9,898,000 1091.88

1345 May 21/02 1091.88 1099.55 1079.08 1079.88 12,005,000 1079.88

1346 May 22/02 1079.88 1086.02 1075.64 1086.02 11,363,000 1086.02

1347 May 23/02 1086.02 1097.10 1080.55 1097.08 11,929,000 1097.08

1348 May 24/02 1097.08 1097.08 1082.19 1083.82 8,854,000 1083.82

1349 May 28/02 1083.82 1085.98 1070.31 1074.55 9,965,000 1074.55

1350 May 29/02 1074.55 1074.83 1067.66 1067.66 10,818,000 1067.66

1351 May 30/02 1067.66 1069.50 1054.26 1060.11 12,866,000 1060.11

1352 May 31/02 1064.66 1079.93 1064.66 1067.14 12,773,000 1067.14

1353 Jun 3/02 1067.14 1070.74 1039.90 1040.68 13,243,000 1040.68

1354 Jun 4/02 1040.68 1046.06 1030.52 1040.69 14,666,000 1040.69

1355 Jun 5/02 1040.69 1050.11 1038.84 1049.90 13,001,000 1049.90

1356 Jun 6/02 1049.90 1049.90 1026.91 1029.15 16,015,000 1029.15

1357 Jun 7/02 1029.15 1033.02 1012.49 1027.53 13,413,000 1027.53

1358 Jun 10/02 1027.53 1038.18 1025.45 1030.74 12,262,000 1030.74

1359 Jun 11/02 1030.74 1039.04 1012.94 1013.60 12,124,000 1013.60

1360 Jun 12/02 1013.26 1021.85 1002.58 1020.26 17,957,200 1020.26

1361 Jun 13/02 1020.26 1023.47 1008.12 1009.56 14,055,000 1009.56

1362 Jun 14/02 1009.56 1009.56 981.63 1007.27 15,490,000 1007.27

1363 Jun 17/02 1007.27 1036.17 1007.27 1036.17 12,366,000 1036.17

1364 Jun 18/02 1036.17 1040.83 1030.92 1037.14 11,931,000 1037.14

1365 Jun 19/02 1037.14 1037.61 1017.88 1019.99 13,361,000 1019.99

1366 Jun 20/02 1019.99 1023.33 1004.59 1006.29 13,897,000 1006.29

1367 Jun 21/02 1006.29 1006.29 985.65 989.14 14,972,000 989.14

1368 Jun 24/02 989.14 1002.11 970.85 992.72 15,526,000 992.72

Page 30: GARCH Example

1369 Jun 25/02 992.72 1005.88 974.21 976.14 15,137,000 976.14

1370 Jun 26/02 976.14 977.43 952.92 973.53 20,142,900 973.53

1371 Jun 27/02 973.53 990.67 963.74 990.64 19,086,000 990.64

1372 Jun 28/02 990.64 1001.79 988.31 989.82 21,170,000 989.82

1373 Jul 1/02 989.82 994.46 967.43 968.65 14,255,000 968.65

1374 Jul 2/02 968.65 968.65 945.54 948.09 18,230,000 948.09

1375 Jul 3/02 948.09 954.30 934.87 953.99 15,278,000 953.99

1376 Jul 5/02 953.99 989.07 953.99 989.03 6,994,000 989.03

1377 Jul 8/02 989.03 993.56 972.91 976.98 11,844,000 976.98

1378 Jul 9/02 976.98 979.63 951.71 952.83 13,489,000 952.83

1379 Jul 10/02 952.83 956.34 920.29 920.47 18,169,000 920.47

1380 Jul 11/02 920.47 929.16 900.94 927.37 20,804,800 927.37

1381 Jul 12/02 927.37 934.31 913.71 921.39 16,074,000 921.39

1382 Jul 15/02 921.39 921.39 876.46 917.93 19,566,000 917.93

1383 Jul 16/02 917.93 918.65 897.13 900.94 18,437,000 900.94

1384 Jul 17/02 901.05 926.52 895.03 906.04 19,700,400 906.04

1385 Jul 18/02 905.45 907.80 880.60 881.56 17,363,000 881.56

1386 Jul 19/02 881.56 881.56 842.07 847.75 26,541,000 847.75

1387 Jul 22/02 847.76 854.13 813.26 819.85 22,480,600 819.85

1388 Jul 23/02 819.85 827.69 796.13 797.70 24,410,200 797.70

1389 Jul 24/02 797.71 844.32 775.68 843.43 27,755,600 843.43

1390 Jul 25/02 843.42 853.83 816.11 838.68 24,247,000 838.68

1391 Jul 26/02 838.68 852.85 835.92 852.84 17,961,000 852.84

1392 Jul 29/02 852.84 898.96 852.84 898.96 17,786,500 898.96

1393 Jul 30/02 898.96 909.81 884.70 902.78 18,260,900 902.78

1394 Jul 31/02 902.78 911.64 889.88 911.62 20,493,600 911.62

1395 Aug 1/02 911.62 911.62 882.48 884.66 16,722,000 884.66

1396 Aug 2/02 884.40 884.72 853.95 864.24 15,381,000 864.24

1397 Aug 5/02 864.24 864.24 833.44 834.60 14,255,000 834.60

1398 Aug 6/02 834.60 874.44 834.60 859.57 15,141,000 859.57

1399 Aug 7/02 859.57 878.74 854.15 876.77 14,904,000 876.77

1400 Aug 8/02 876.77 905.84 875.17 905.46 16,467,000 905.46

1401 Aug 9/02 898.73 913.95 890.77 908.64 12,949,000 908.64

1402 Aug 12/02 908.64 908.64 892.38 903.80 10,365,000 903.80

1403 Aug 13/02 903.80 911.71 883.62 884.21 12,977,000 884.21

1404 Aug 14/02 884.21 920.21 876.20 919.62 15,338,000 919.62

1405 Aug 15/02 919.62 933.29 918.17 930.25 15,051,000 930.25

1406 Aug 16/02 930.25 935.38 916.21 928.77 12,653,000 928.77

1407 Aug 19/02 928.77 951.17 927.21 950.70 12,998,000 950.70

1408 Aug 20/02 950.70 950.70 931.86 937.43 13,085,000 937.43

1409 Aug 21/02 937.43 951.59 931.32 949.36 13,531,000 949.36

1410 Aug 22/02 949.36 965.00 946.43 962.70 13,730,000 962.70

1411 Aug 23/02 962.70 962.70 937.17 940.86 10,715,000 940.86

1412 Aug 26/02 940.86 950.80 930.42 947.95 10,169,000 947.95

1413 Aug 27/02 947.95 955.82 930.36 934.82 13,077,000 934.82

1414 Aug 28/02 934.82 934.82 913.21 917.87 11,466,000 917.87

1415 Aug 29/02 917.87 924.59 903.33 917.80 12,711,000 917.80

1416 Aug 30/02 917.80 928.15 910.17 916.07 9,299,000 916.07

1417 Sep 3/02 916.07 916.07 877.51 878.02 12,898,000 878.02

1418 Sep 4/02 878.02 896.10 875.73 893.40 13,721,000 893.40

1419 Sep 5/02 893.40 893.40 870.50 879.15 14,013,000 879.15

Page 31: GARCH Example

1420 Sep 6/02 879.15 899.07 879.15 893.92 11,845,000 893.92

1421 Sep 9/02 893.92 907.34 882.92 902.96 11,306,000 902.96

1422 Sep 10/02 902.96 909.89 900.50 909.58 11,864,000 909.58

1423 Sep 11/02 910.63 924.02 908.47 909.45 8,466,000 909.45

1424 Sep 12/02 909.45 909.45 884.84 886.91 11,916,000 886.91

1425 Sep 13/02 886.91 892.75 877.05 889.81 12,710,000 889.81

1426 Sep 16/02 889.81 891.84 878.91 891.10 10,014,000 891.10

1427 Sep 17/02 891.10 902.68 872.38 873.52 14,486,000 873.52

1428 Sep 18/02 873.52 878.45 857.39 869.46 15,010,000 869.46

1429 Sep 19/02 869.46 869.46 843.09 843.32 15,240,000 843.32

1430 Sep 20/02 843.32 849.32 839.09 845.39 17,928,000 845.39

1431 Sep 23/02 845.39 845.39 825.76 833.70 13,811,000 833.70

1432 Sep 24/02 833.70 833.70 817.38 819.29 16,702,400 819.29

1433 Sep 25/02 819.27 844.22 818.46 839.66 16,515,000 839.66

1434 Sep 26/02 839.66 856.60 839.66 854.95 16,500,000 854.95

1435 Sep 27/02 854.95 854.95 826.84 827.37 15,073,000 827.37

1436 Sep 30/02 827.37 827.37 800.20 815.28 17,218,700 815.28

1437 Oct 1/02 815.28 847.93 812.82 847.91 17,809,000 847.91

1438 Oct 2/02 843.77 851.93 826.50 827.91 16,689,000 827.91

1439 Oct 3/02 827.91 840.02 817.25 818.95 16,745,000 818.95

1440 Oct 4/02 818.95 825.90 794.10 800.58 18,359,300 800.58

1441 Oct 7/02 800.58 808.21 782.96 785.28 15,765,000 785.28

1442 Oct 8/02 785.28 808.86 779.50 798.55 19,384,300 798.55

1443 Oct 9/02 798.55 798.55 775.80 776.76 18,850,300 776.76

1444 Oct 10/02 776.76 806.51 768.63 803.92 20,902,300 803.92

1445 Oct 11/02 803.92 843.27 803.92 835.32 18,541,300 835.32

1446 Oct 14/02 835.32 844.39 828.37 841.44 12,003,000 841.44

1447 Oct 15/02 841.44 881.27 841.44 881.27 19,560,000 881.27

1448 Oct 16/02 881.27 881.27 856.28 860.02 15,850,000 860.02

1449 Oct 17/02 860.02 885.35 860.02 879.20 17,803,900 879.20

1450 Oct 18/02 879.20 886.68 866.58 884.39 14,231,000 884.39

1451 Oct 21/02 884.39 900.69 873.06 899.72 14,470,000 899.72

1452 Oct 22/02 899.72 899.72 882.40 890.16 15,492,000 890.16

1453 Oct 23/02 890.16 896.14 873.82 896.14 15,939,000 896.14

1454 Oct 24/02 896.14 902.94 879.00 882.50 17,005,700 882.50

1455 Oct 25/02 882.50 897.71 877.03 897.65 13,404,000 897.65

1456 Oct 28/02 897.65 907.44 886.15 890.23 13,826,000 890.23

1457 Oct 29/02 890.23 890.64 867.91 882.15 15,297,000 882.15

1458 Oct 30/02 882.15 895.28 879.19 890.71 14,223,000 890.71

1459 Oct 31/02 890.71 898.83 879.75 885.76 16,413,000 885.76

1460 Nov 1/02 885.76 903.42 877.71 900.96 14,504,000 900.96

1461 Nov 4/02 900.96 924.58 900.96 908.35 16,459,000 908.35

1462 Nov 5/02 908.35 915.83 904.91 915.39 13,541,000 915.39

1463 Nov 6/02 915.39 925.66 905.00 923.76 16,740,000 923.76

1464 Nov 7/02 923.76 923.76 898.68 902.65 14,669,000 902.65

1465 Nov 8/02 902.65 910.11 891.62 894.74 14,465,000 894.74

1466 Nov 11/02 894.74 894.74 874.63 876.19 11,130,000 876.19

1467 Nov 12/02 876.19 894.30 876.19 882.95 13,771,000 882.95

1468 Nov 13/02 882.95 892.51 872.05 882.53 14,634,000 882.53

1469 Nov 14/02 882.53 904.27 882.53 904.27 15,190,000 904.27

1470 Nov 15/02 904.27 910.21 895.35 909.83 14,001,000 909.83

Page 32: GARCH Example

1471 Nov 18/02 909.83 915.91 899.48 900.36 12,826,000 900.36

1472 Nov 19/02 900.36 905.45 893.09 896.74 13,374,000 896.74

1473 Nov 20/02 896.74 915.01 894.93 914.15 15,173,000 914.15

1474 Nov 21/02 914.15 935.13 914.15 933.76 24,151,000 933.76

1475 Nov 22/02 933.76 937.28 928.41 930.55 16,268,000 930.55

1476 Nov 25/02 930.55 937.15 923.31 932.87 15,740,000 932.87

1477 Nov 26/02 932.87 932.87 912.10 913.31 15,436,000 913.31

1478 Nov 27/02 913.31 940.41 913.31 938.87 13,503,000 938.87

1479 Nov 29/02 938.87 941.82 935.58 936.31 6,434,600 936.31

1480 Dec 2/02 936.31 954.28 927.72 934.53 16,120,000 934.53

1481 Dec 3/02 934.53 934.53 918.73 920.75 14,884,000 920.75

1482 Dec 4/02 920.75 925.25 909.51 917.58 15,889,000 917.58

1483 Dec 5/02 917.58 921.49 905.90 906.55 12,502,000 906.55

1484 Dec 6/02 906.55 915.48 895.96 912.23 12,411,000 912.23

1485 Dec 9/02 912.23 912.23 891.97 892.00 13,208,000 892.00

1486 Dec 10/02 892.00 904.95 892.00 904.45 12,866,000 904.45

1487 Dec 11/02 904.45 909.94 896.48 904.96 12,851,000 904.96

1488 Dec 12/02 904.96 908.37 897.00 901.58 12,553,000 901.58

1489 Dec 13/02 901.58 901.58 888.48 889.48 13,308,000 889.48

1490 Dec 16/02 889.48 910.42 889.48 910.40 12,716,000 910.40

1491 Dec 17/02 910.40 911.22 901.74 902.99 12,518,000 902.99

1492 Dec 18/02 902.99 902.99 887.82 891.12 14,462,000 891.12

1493 Dec 19/02 890.02 899.19 880.32 884.25 13,859,000 884.25

1494 Dec 20/02 884.25 897.79 884.25 895.76 17,827,300 895.76

1495 Dec 23/02 895.74 902.43 892.26 897.38 11,121,000 897.38

1496 Dec 24/02 897.38 897.38 892.29 892.47 4,583,100 892.47

1497 Dec 26/02 892.47 903.89 887.48 889.66 7,211,000 889.66

1498 Dec 27/02 889.66 890.46 873.62 875.40 7,584,000 875.40

1499 Dec 30/02 875.40 882.10 870.23 879.39 10,578,000 879.39

1500 Dec 31/02 879.39 881.93 869.45 879.82 10,885,000 879.82

1501 Jan 2/03 879.82 909.03 879.82 909.03 12,292,000 909.03

1502 Jan 3/03 909.03 911.25 903.07 908.59 11,308,000 908.59

1503 Jan 6/03 908.59 931.77 908.59 929.01 14,359,000 929.01

1504 Jan 7/03 929.01 930.81 919.93 922.93 15,452,000 922.93

1505 Jan 8/03 922.93 922.93 908.32 909.93 14,676,000 909.93

1506 Jan 9/03 909.93 928.31 909.93 927.57 15,603,000 927.57

1507 Jan 10/03 927.58 932.89 917.66 927.57 14,854,000 927.57

1508 Jan 13/03 927.57 935.05 922.05 926.26 13,963,000 926.26

1509 Jan 14/03 926.26 931.66 921.72 931.66 13,794,000 931.66

1510 Jan 15/03 931.66 932.59 916.70 918.22 14,321,000 918.22

1511 Jan 16/03 918.22 926.03 911.98 914.60 15,346,000 914.60

1512 Jan 17/03 914.60 914.60 899.02 901.78 13,582,000 901.78

1513 Jan 21/03 901.78 906.00 887.62 887.62 13,352,000 887.62

1514 Jan 22/03 887.62 889.74 877.64 878.36 15,608,000 878.36

1515 Jan 23/03 878.36 890.25 876.89 887.34 17,445,500 887.34

1516 Jan 24/03 887.34 887.34 859.71 861.40 15,748,000 861.40

1517 Jan 27/03 861.40 863.95 844.25 847.48 14,359,000 847.48

1518 Jan 28/03 847.48 860.76 847.48 858.54 14,591,000 858.54

1519 Jan 29/03 858.54 868.72 845.86 864.36 15,954,000 864.36

1520 Jan 30/03 864.36 865.48 843.74 844.61 15,103,000 844.61

1521 Jan 31/03 844.61 858.33 840.34 855.70 15,785,300 855.70

Page 33: GARCH Example

1522 Feb 3/03 855.70 864.64 855.70 860.32 12,585,000 860.32

1523 Feb 4/03 860.32 860.32 840.19 848.20 14,516,000 848.20

1524 Feb 5/03 848.20 861.63 842.11 843.59 14,508,000 843.59

1525 Feb 6/03 843.59 844.23 833.25 838.15 14,309,000 838.15

1526 Feb 7/03 838.15 845.73 826.70 829.69 12,768,000 829.69

1527 Feb 10/03 829.69 837.16 823.53 835.97 12,382,000 835.97

1528 Feb 11/03 835.97 843.02 825.09 829.20 13,070,000 829.20

1529 Feb 12/03 829.20 832.12 818.49 818.68 12,605,000 818.68

1530 Feb 13/03 818.68 821.25 806.29 817.37 14,893,000 817.37

1531 Feb 14/03 817.37 834.89 815.03 834.89 14,046,000 834.89

1532 Feb 18/03 834.89 852.87 834.89 851.17 12,508,000 851.17

1533 Feb 19/03 851.17 851.17 838.79 845.13 10,756,000 845.13

1534 Feb 20/03 845.13 849.37 836.56 837.10 11,941,000 837.10

1535 Feb 21/03 837.10 852.28 831.48 848.17 13,982,000 848.17

1536 Feb 24/03 848.17 848.17 832.16 832.58 12,292,000 832.58

1537 Feb 25/03 832.58 839.55 818.54 838.57 14,837,000 838.57

1538 Feb 26/03 838.57 840.10 826.68 827.55 13,744,000 827.55

1539 Feb 27/03 827.55 842.19 827.55 837.28 12,878,000 837.28

1540 Feb 28/03 837.28 847.00 837.28 841.15 13,733,000 841.15

1541 Mar 3/03 841.15 852.34 832.74 834.81 12,089,000 834.81

1542 Mar 4/03 834.81 835.43 821.96 821.99 12,566,000 821.99

1543 Mar 5/03 821.99 829.87 819.00 829.85 13,327,000 829.85

1544 Mar 6/03 829.85 829.85 819.85 822.10 12,992,000 822.10

1545 Mar 7/03 822.10 829.55 811.23 828.89 13,685,000 828.89

1546 Mar 10/03 828.89 828.89 806.57 807.48 12,550,000 807.48

1547 Mar 11/03 807.48 814.25 800.30 800.73 14,277,000 800.73

1548 Mar 12/03 800.73 804.19 788.90 804.19 16,200,000 804.19

1549 Mar 13/03 804.19 832.02 804.19 831.90 18,163,000 831.90

1550 Mar 14/03 831.89 841.39 828.26 833.27 15,419,000 833.27

1551 Mar 17/03 833.27 862.79 827.17 862.79 17,004,200 862.79

1552 Mar 18/03 862.79 866.94 857.36 866.45 15,551,000 866.45

1553 Mar 19/03 866.45 874.99 861.21 874.02 14,734,000 874.02

1554 Mar 20/03 874.02 879.60 859.01 875.67 14,391,000 875.67

1555 Mar 21/03 875.84 895.90 875.84 895.79 18,837,100 895.79

1556 Mar 24/03 895.79 895.79 862.02 864.23 12,930,000 864.23

1557 Mar 25/03 864.23 879.87 862.59 874.74 13,334,000 874.74

1558 Mar 26/03 874.74 875.80 866.47 869.95 13,197,000 869.95

1559 Mar 27/03 869.95 874.15 858.09 868.52 12,329,000 868.52

1560 Mar 28/03 868.52 869.88 860.83 863.50 12,270,000 863.50

1561 Mar 31/03 863.50 863.50 843.68 848.18 14,955,000 848.18

1562 Apr 1/03 848.18 861.28 847.85 858.48 14,616,000 858.48

1563 Apr 2/03 858.48 884.57 858.48 880.90 15,898,000 880.90

1564 Apr 3/03 880.90 885.89 876.12 876.45 13,395,000 876.45

1565 Apr 4/03 876.45 882.73 874.23 878.85 12,412,000 878.85

1566 Apr 7/03 878.85 904.89 878.85 879.93 14,940,000 879.93

1567 Apr 8/03 879.93 883.11 874.68 878.29 12,354,000 878.29

1568 Apr 9/03 878.29 887.35 865.72 865.99 12,937,000 865.99

1569 Apr 10/03 865.99 871.78 862.76 871.58 12,753,000 871.58

1570 Apr 11/03 871.58 883.34 865.92 868.30 11,416,000 868.30

1571 Apr 14/03 868.30 885.26 868.30 885.23 11,310,000 885.23

1572 Apr 15/03 885.23 891.27 881.85 890.81 14,602,000 890.81

Page 34: GARCH Example

1573 Apr 16/03 890.81 896.77 877.93 879.91 15,876,000 879.91

1574 Apr 17/03 879.91 893.83 879.20 893.58 14,306,000 893.58

1575 Apr 21/03 893.58 898.01 888.17 892.01 11,187,000 892.01

1576 Apr 22/03 892.01 911.74 886.70 911.37 16,312,000 911.37

1577 Apr 23/03 911.37 919.74 909.89 919.02 16,672,000 919.02

1578 Apr 24/03 919.02 919.02 906.69 911.43 16,481,000 911.43

1579 Apr 25/03 911.43 911.43 897.52 898.81 13,358,000 898.81

1580 Apr 28/03 898.81 918.15 898.81 914.84 12,730,000 914.84

1581 Apr 29/03 914.84 924.24 911.10 917.84 15,256,000 917.84

1582 Apr 30/03 917.84 922.01 911.70 916.92 17,885,100 916.92

1583 May 1/03 916.92 919.68 902.83 916.30 13,975,000 916.30

1584 May 2/03 916.30 930.56 912.35 930.08 15,543,000 930.08

1585 May 5/03 930.08 933.88 924.55 926.55 14,463,000 926.55

1586 May 6/03 926.55 939.61 926.38 934.39 16,496,000 934.39

1587 May 7/03 934.39 937.22 926.41 929.62 15,319,000 929.62

1588 May 8/03 929.62 929.62 919.72 920.27 13,796,000 920.27

1589 May 9/03 920.27 933.77 920.27 933.41 13,261,000 933.41

1590 May 12/03 933.41 946.84 929.30 945.11 13,788,000 945.11

1591 May 13/03 945.11 947.51 938.91 942.30 14,181,000 942.30

1592 May 14/03 942.30 947.29 935.24 939.28 14,018,000 939.28

1593 May 15/03 939.28 948.23 938.79 946.67 15,087,000 946.67

1594 May 16/03 946.67 948.65 938.60 944.30 15,055,000 944.30

1595 May 19/03 944.30 944.30 920.23 920.77 13,757,000 920.77

1596 May 20/03 920.77 925.34 912.05 919.73 15,053,000 919.73

1597 May 21/03 919.73 923.85 914.91 923.42 14,578,000 923.42

1598 May 22/03 923.42 935.30 922.54 931.87 14,485,000 931.87

1599 May 23/03 931.87 935.20 927.42 933.22 12,010,000 933.22

1600 May 27/03 933.22 952.76 927.33 951.48 15,320,000 951.48

1601 May 28/03 951.48 959.39 950.12 953.22 15,590,000 953.22

1602 May 29/03 953.22 962.08 946.23 949.64 16,858,000 949.64

1603 May 30/03 949.64 965.38 949.64 963.59 16,888,000 963.59

1604 Jun 2/03 963.59 979.11 963.59 967.00 16,625,000 967.00

1605 Jun 3/03 967.00 973.02 964.47 971.56 14,502,000 971.56

1606 Jun 4/03 971.56 987.85 970.72 986.24 16,187,000 986.24

1607 Jun 5/03 986.24 990.14 978.13 990.14 16,931,000 990.14

1608 Jun 6/03 990.14 1007.69 986.01 987.76 18,372,000 987.76

1609 Jun 9/03 987.76 987.76 972.59 975.93 13,070,000 975.93

1610 Jun 10/03 975.93 984.84 975.93 984.84 12,754,000 984.84

1611 Jun 11/03 984.84 997.48 981.61 997.48 15,200,000 997.48

1612 Jun 12/03 997.48 1002.74 991.27 998.51 15,531,000 998.51

1613 Jun 13/03 998.51 1000.92 984.27 988.61 12,716,000 988.61

1614 Jun 16/03 988.61 1010.86 988.61 1010.74 13,459,000 1010.74

1615 Jun 17/03 1010.74 1015.33 1007.04 1011.66 14,797,000 1011.66

1616 Jun 18/03 1011.66 1015.12 1004.61 1010.09 14,889,000 1010.09

1617 Jun 19/03 1010.09 1011.22 993.08 994.70 15,301,000 994.70

1618 Jun 20/03 994.70 1002.09 993.36 995.69 16,980,000 995.69

1619 Jun 23/03 995.69 995.69 977.40 981.64 13,981,000 981.64

1620 Jun 24/03 981.64 987.84 979.08 983.45 13,883,000 983.45

1621 Jun 25/03 983.45 991.64 974.86 975.32 14,592,000 975.32

1622 Jun 26/03 975.32 986.53 973.80 985.82 13,874,000 985.82

1623 Jun 27/03 985.82 988.88 974.29 976.22 12,678,000 976.22

Page 35: GARCH Example

1624 Jun 30/03 976.22 983.61 973.60 974.50 15,872,000 974.50

1625 Jul 1/03 974.50 983.26 962.10 982.32 14,602,000 982.32

1626 Jul 2/03 982.32 993.78 982.32 993.75 15,193,000 993.75

1627 Jul 3/03 993.75 995.00 983.34 985.70 7,759,000 985.70

1628 Jul 7/03 985.70 1005.56 985.70 1004.42 14,291,000 1004.42

1629 Jul 8/03 1004.42 1008.92 998.73 1007.84 15,657,000 1007.84

1630 Jul 9/03 1007.84 1010.43 998.17 1002.21 16,180,000 1002.21

1631 Jul 10/03 1002.21 1002.21 983.63 988.70 14,657,000 988.70

1632 Jul 11/03 988.70 1000.86 988.70 998.14 12,127,000 998.14

1633 Jul 14/03 998.14 1015.41 998.14 1003.86 14,489,000 1003.86

1634 Jul 15/03 1003.86 1009.61 996.67 1000.42 15,186,000 1000.42

1635 Jul 16/03 1000.42 1003.47 989.30 994.09 16,620,000 994.09

1636 Jul 17/03 994.00 994.00 978.60 981.73 16,614,000 981.73

1637 Jul 18/03 981.73 994.25 981.71 993.32 13,652,000 993.32

1638 Jul 21/03 993.32 993.32 975.63 978.80 12,542,000 978.80

1639 Jul 22/03 978.80 990.29 976.08 988.11 14,397,000 988.11

1640 Jul 23/03 988.11 989.86 979.79 988.61 13,627,000 988.61

1641 Jul 24/03 988.61 998.89 981.07 981.60 15,590,000 981.60

1642 Jul 25/03 981.60 998.71 977.49 998.68 13,975,000 998.68

1643 Jul 28/03 998.68 1000.68 993.59 996.52 13,286,000 996.52

1644 Jul 29/03 996.52 998.64 984.15 989.28 15,089,000 989.28

1645 Jul 30/03 989.28 992.62 985.96 987.49 13,919,000 987.49

1646 Jul 31/03 987.49 1004.59 987.49 990.31 16,080,000 990.31

1647 Aug 1/03 990.31 990.31 978.86 980.15 13,906,000 980.15

1648 Aug 4/03 980.15 985.75 966.79 982.82 13,187,000 982.82

1649 Aug 5/03 982.82 982.82 964.97 965.46 13,517,000 965.46

1650 Aug 6/03 965.46 975.74 960.84 967.08 14,910,000 967.08

1651 Aug 7/03 967.08 974.89 963.82 974.12 13,893,000 974.12

1652 Aug 8/03 974.12 980.57 973.83 977.59 10,866,000 977.59

1653 Aug 11/03 977.59 985.46 974.21 980.59 10,222,000 980.59

1654 Aug 12/03 980.59 990.41 979.90 990.35 11,323,000 990.35

1655 Aug 13/03 990.35 992.50 980.85 984.03 12,088,000 984.03

1656 Aug 14/03 984.03 991.91 980.36 990.51 11,868,000 990.51

1657 Aug 15/03 990.51 992.39 987.10 990.67 6,363,700 990.67

1658 Aug 18/03 990.67 1000.35 990.67 999.74 11,276,000 999.74

1659 Aug 19/03 999.74 1003.30 995.30 1002.35 13,006,000 1002.35

1660 Aug 20/03 1002.35 1003.54 996.62 1000.30 12,108,000 1000.30

1661 Aug 21/03 1000.30 1009.53 999.33 1003.27 14,071,000 1003.27

1662 Aug 22/03 1003.27 1011.01 992.62 993.06 13,089,000 993.06

1663 Aug 25/03 993.06 993.71 987.91 993.71 9,717,000 993.71

1664 Aug 26/03 993.71 997.93 983.57 996.73 11,787,000 996.73

1665 Aug 27/03 996.73 998.05 993.33 996.79 10,514,000 996.79

1666 Aug 28/03 996.79 1004.12 991.42 1002.84 11,652,000 1002.84

1667 Aug 29/03 1002.84 1008.85 999.52 1008.01 9,451,000 1008.01

1668 Sep 2/03 1008.01 1022.59 1005.73 1021.99 14,705,000 1021.99

1669 Sep 3/03 1021.99 1029.34 1021.99 1026.27 16,756,000 1026.27

1670 Sep 4/03 1026.27 1029.17 1022.19 1027.97 14,539,000 1027.97

1671 Sep 5/03 1027.97 1029.21 1018.19 1021.39 14,652,000 1021.39

1672 Sep 8/03 1021.39 1032.41 1021.39 1031.64 12,993,000 1031.64

1673 Sep 9/03 1031.64 1031.64 1021.14 1023.17 14,148,000 1023.17

1674 Sep 10/03 1023.17 1023.17 1009.74 1010.92 15,821,000 1010.92

Page 36: GARCH Example

1675 Sep 11/03 1010.92 1020.88 1010.92 1016.42 13,359,000 1016.42

1676 Sep 12/03 1016.42 1019.65 1007.71 1018.63 12,367,000 1018.63

1677 Sep 15/03 1018.63 1019.79 1013.59 1014.81 11,513,000 1014.81

1678 Sep 16/03 1014.81 1029.66 1014.81 1029.32 14,032,000 1029.32

1679 Sep 17/03 1029.32 1031.34 1024.53 1025.97 13,484,000 1025.97

1680 Sep 18/03 1025.97 1040.16 1025.75 1039.58 14,988,000 1039.58

1681 Sep 19/03 1039.58 1040.29 1031.89 1036.30 15,186,000 1036.30

1682 Sep 22/03 1036.30 1036.30 1018.30 1022.82 12,788,000 1022.82

1683 Sep 23/03 1022.82 1030.12 1021.54 1029.03 13,017,000 1029.03

1684 Sep 24/03 1029.03 1029.83 1008.93 1009.38 15,560,000 1009.38

1685 Sep 25/03 1009.38 1015.97 1003.26 1003.27 15,300,000 1003.27

1686 Sep 26/03 1003.27 1003.45 996.08 996.85 14,725,000 996.85

1687 Sep 29/03 996.85 1006.89 995.31 1006.58 13,665,000 1006.58

1688 Sep 30/03 1006.58 1006.58 990.36 995.97 15,905,000 995.97

1689 Oct 1/03 995.97 1018.22 995.97 1018.22 15,663,000 1018.22

1690 Oct 2/03 1018.22 1021.87 1013.38 1020.24 12,693,000 1020.24

1691 Oct 3/03 1020.24 1039.31 1020.24 1029.85 15,705,000 1029.85

1692 Oct 6/03 1029.85 1036.48 1029.15 1034.35 10,258,000 1034.35

1693 Oct 7/03 1034.35 1039.25 1026.27 1039.25 12,795,000 1039.25

1694 Oct 8/03 1039.25 1040.06 1030.96 1033.78 12,625,000 1033.78

1695 Oct 9/03 1033.78 1048.28 1033.78 1038.73 15,787,000 1038.73

1696 Oct 10/03 1038.73 1040.84 1035.74 1038.06 11,081,000 1038.06

1697 Oct 13/03 1038.06 1048.90 1038.06 1045.35 10,405,000 1045.35

1698 Oct 14/03 1045.35 1049.49 1040.84 1049.48 12,719,000 1049.48

1699 Oct 15/03 1049.48 1053.79 1043.15 1046.76 15,211,000 1046.76

1700 Oct 16/03 1046.76 1052.94 1044.04 1050.07 14,177,000 1050.07

1701 Oct 17/03 1050.07 1051.89 1036.57 1039.32 13,520,000 1039.32

1702 Oct 20/03 1039.32 1044.69 1036.13 1044.68 11,726,000 1044.68

1703 Oct 21/03 1044.68 1048.57 1042.59 1046.03 14,980,000 1046.03

1704 Oct 22/03 1046.03 1046.03 1028.39 1030.36 16,472,000 1030.36

1705 Oct 23/03 1030.36 1035.44 1025.89 1033.77 16,043,000 1033.77

1706 Oct 24/03 1033.77 1033.77 1018.32 1028.91 14,203,000 1028.91

1707 Oct 27/03 1028.91 1037.75 1028.91 1031.13 13,718,000 1031.13

1708 Oct 28/03 1031.13 1046.79 1031.13 1046.79 16,292,000 1046.79

1709 Oct 29/03 1046.79 1049.83 1043.35 1048.11 15,626,000 1048.11

1710 Oct 30/03 1048.11 1052.81 1043.82 1046.94 16,297,000 1046.94

1711 Oct 31/03 1046.94 1053.09 1046.94 1050.71 14,989,000 1050.71

1712 Nov 3/03 1050.71 1061.44 1050.71 1059.02 13,782,000 1059.02

1713 Nov 4/03 1059.02 1059.02 1051.70 1053.25 14,176,000 1053.25

1714 Nov 5/03 1053.25 1054.54 1044.88 1051.81 14,018,000 1051.81

1715 Nov 6/03 1051.81 1058.94 1046.93 1058.05 14,539,000 1058.05

1716 Nov 7/03 1058.05 1062.39 1052.17 1053.21 14,405,000 1053.21

1717 Nov 10/03 1053.21 1053.65 1045.58 1047.11 12,436,000 1047.11

1718 Nov 11/03 1047.11 1048.23 1043.46 1046.57 11,625,000 1046.57

1719 Nov 12/03 1046.57 1059.10 1046.57 1058.53 13,493,000 1058.53

1720 Nov 13/03 1058.56 1059.62 1052.96 1058.41 13,830,000 1058.41

1721 Nov 14/03 1058.41 1063.65 1048.11 1050.35 13,561,000 1050.35

1722 Nov 17/03 1050.35 1050.35 1035.28 1043.63 13,743,000 1043.63

1723 Nov 18/03 1043.63 1048.77 1034.00 1034.15 13,543,000 1034.15

1724 Nov 19/03 1034.15 1043.95 1034.15 1042.44 13,262,000 1042.44

1725 Nov 20/03 1042.44 1046.48 1033.42 1033.65 13,267,000 1033.65

Page 37: GARCH Example

1726 Nov 21/03 1033.65 1037.57 1031.20 1035.28 12,738,000 1035.28

1727 Nov 24/03 1035.28 1052.08 1035.28 1052.08 13,028,000 1052.08

1728 Nov 25/03 1052.08 1058.05 1049.31 1053.89 13,337,000 1053.89

1729 Nov 26/03 1053.89 1058.45 1048.28 1058.45 10,977,000 1058.45

1730 Nov 28/03 1058.45 1060.63 1056.77 1058.20 4,872,200 1058.20

1731 Dec 1/03 1058.20 1070.47 1058.20 1070.12 13,750,000 1070.12

1732 Dec 2/03 1070.12 1071.22 1065.22 1066.62 13,832,000 1066.62

1733 Dec 3/03 1066.62 1074.30 1064.63 1064.73 14,417,000 1064.73

1734 Dec 4/03 1064.73 1070.37 1063.15 1069.72 14,631,000 1069.72

1735 Dec 5/03 1069.72 1069.72 1060.09 1061.50 12,659,000 1061.50

1736 Dec 8/03 1061.50 1069.59 1060.93 1069.30 12,189,000 1069.30

1737 Dec 9/03 1069.30 1071.94 1059.16 1060.18 14,655,000 1060.18

1738 Dec 10/03 1060.18 1063.02 1053.41 1059.05 14,440,000 1059.05

1739 Dec 11/03 1059.05 1073.63 1059.05 1071.21 14,411,000 1071.21

1740 Dec 12/03 1071.21 1074.76 1067.64 1074.14 12,231,000 1074.14

1741 Dec 15/03 1074.14 1082.79 1068.00 1068.04 15,208,000 1068.04

1742 Dec 16/03 1068.04 1075.94 1068.04 1075.13 15,479,000 1075.13

1743 Dec 17/03 1075.13 1076.54 1071.14 1076.48 14,417,000 1076.48

1744 Dec 18/03 1076.48 1089.50 1076.48 1089.18 15,799,000 1089.18

1745 Dec 19/03 1089.18 1091.06 1084.19 1088.66 16,573,000 1088.66

1746 Dec 22/03 1088.66 1092.94 1086.14 1092.94 12,517,000 1092.94

1747 Dec 23/03 1092.94 1096.95 1091.73 1096.02 11,453,000 1096.02

1748 Dec 24/03 1096.02 1096.40 1092.73 1094.04 5,180,600 1094.04

1749 Dec 26/03 1094.04 1098.47 1094.04 1095.89 3,560,700 1095.89

1750 Dec 29/03 1095.89 1109.48 1095.89 1109.48 10,588,000 1109.48

1751 Dec 30/03 1109.48 1109.75 1106.41 1109.64 10,126,000 1109.64

1752 Dec 31/03 1109.64 1112.56 1106.21 1111.92 10,275,000 1111.92

1753 Jan 2/04 1111.92 1118.85 1105.08 1108.48 11,532,000 1108.48

1754 Jan 5/04 1108.48 1122.22 1108.48 1122.22 15,782,000 1122.22

1755 Jan 6/04 1122.22 1124.46 1118.44 1123.67 14,945,000 1123.67

1756 Jan 7/04 1123.67 1126.33 1116.45 1126.33 17,049,000 1126.33

1757 Jan 8/04 1126.33 1131.92 1124.91 1131.92 18,684,000 1131.92

1758 Jan 9/04 1131.92 1131.92 1120.90 1121.86 17,207,000 1121.86

1759 Jan 12/04 1121.86 1127.85 1120.90 1127.23 15,102,000 1127.23

1760 Jan 13/04 1127.23 1129.07 1115.19 1121.22 15,959,000 1121.22

1761 Jan 14/04 1121.22 1130.75 1121.22 1130.52 15,146,000 1130.52

1762 Jan 15/04 1130.52 1137.11 1124.54 1132.05 16,950,000 1132.05

1763 Jan 16/04 1132.05 1139.83 1132.05 1139.83 17,211,000 1139.83

1764 Jan 20/04 1139.83 1142.93 1135.40 1138.77 16,982,000 1138.77

1765 Jan 21/04 1138.77 1149.21 1134.62 1147.62 17,576,000 1147.62

1766 Jan 22/04 1147.62 1150.51 1143.01 1143.94 16,937,000 1143.94

1767 Jan 23/04 1143.94 1150.31 1136.85 1141.55 15,612,000 1141.55

1768 Jan 26/04 1141.55 1155.38 1141.00 1155.37 14,806,000 1155.37

1769 Jan 27/04 1155.37 1155.37 1144.05 1144.05 16,731,000 1144.05

1770 Jan 28/04 1144.05 1149.14 1126.50 1128.48 18,420,000 1128.48

1771 Jan 29/04 1128.48 1134.39 1122.38 1134.11 19,219,000 1134.11

1772 Jan 30/04 1134.11 1134.17 1127.73 1131.13 16,350,000 1131.13

1773 Feb 2/04 1131.13 1142.45 1127.87 1135.26 15,992,000 1135.26

1774 Feb 3/04 1135.26 1137.44 1131.33 1136.03 14,769,000 1136.03

1775 Feb 4/04 1136.03 1136.03 1124.74 1126.52 16,348,000 1126.52

1776 Feb 5/04 1126.52 1131.17 1124.44 1128.59 15,666,000 1128.59

Page 38: GARCH Example

1777 Feb 6/04 1128.59 1142.79 1128.39 1142.76 14,776,000 1142.76

1778 Feb 9/04 1142.76 1144.46 1139.21 1139.81 13,035,000 1139.81

1779 Feb 10/04 1139.81 1147.02 1138.70 1145.54 14,039,000 1145.54

1780 Feb 11/04 1145.54 1158.89 1142.33 1157.76 16,993,000 1157.76

1781 Feb 12/04 1157.76 1157.76 1151.44 1152.11 14,643,000 1152.11

1782 Feb 13/04 1152.11 1156.88 1143.24 1145.81 13,292,000 1145.81

1783 Feb 17/04 1145.81 1158.98 1145.81 1156.99 13,965,000 1156.99

1784 Feb 18/04 1156.99 1157.40 1149.54 1151.82 13,824,000 1151.82

1785 Feb 19/04 1151.82 1158.57 1146.85 1147.06 15,628,000 1147.06

1786 Feb 20/04 1147.06 1149.81 1139.00 1144.11 14,796,000 1144.11

1787 Feb 23/04 1144.11 1146.69 1136.98 1140.99 13,804,000 1140.99

1788 Feb 24/04 1140.99 1144.54 1134.43 1139.09 15,436,000 1139.09

1789 Feb 25/04 1139.09 1145.24 1138.96 1143.67 13,607,000 1143.67

1790 Feb 26/04 1143.67 1147.23 1138.62 1144.91 13,839,000 1144.91

1791 Feb 27/04 1145.80 1151.68 1141.80 1144.94 15,404,000 1144.94

1792 Mar 1/04 1144.94 1157.45 1144.94 1155.97 14,971,000 1155.97

1793 Mar 2/04 1155.97 1156.54 1147.31 1149.10 14,760,000 1149.10

1794 Mar 3/04 1149.10 1152.44 1143.78 1151.03 13,345,000 1151.03

1795 Mar 4/04 1151.03 1154.97 1149.81 1154.87 12,658,000 1154.87

1796 Mar 5/04 1154.87 1163.23 1148.77 1156.86 13,982,000 1156.86

1797 Mar 8/04 1156.86 1159.94 1146.97 1147.20 12,544,000 1147.20

1798 Mar 9/04 1147.20 1147.32 1136.84 1140.58 14,994,000 1140.58

1799 Mar 10/04 1140.58 1141.45 1122.53 1123.89 16,484,000 1123.89

1800 Mar 11/04 1123.89 1125.96 1105.87 1106.78 18,899,000 1106.78

1801 Mar 12/04 1106.78 1120.63 1106.78 1120.57 13,885,000 1120.57

1802 Mar 15/04 1120.57 1120.57 1103.36 1104.49 16,006,000 1104.49

1803 Mar 16/04 1104.49 1113.76 1102.61 1110.70 15,007,000 1110.70

1804 Mar 17/04 1110.70 1125.76 1110.70 1123.75 14,901,000 1123.75

1805 Mar 18/04 1123.75 1125.50 1113.25 1122.32 13,692,000 1122.32

1806 Mar 19/04 1122.32 1122.72 1109.69 1109.78 14,574,000 1109.78

1807 Mar 22/04 1109.78 1109.78 1089.54 1095.40 14,523,000 1095.40

1808 Mar 23/04 1095.40 1101.52 1091.57 1093.95 14,582,000 1093.95

1809 Mar 24/04 1093.95 1098.32 1087.16 1091.33 15,278,000 1091.33

1810 Mar 25/04 1091.33 1110.38 1091.33 1109.19 14,717,000 1109.19

1811 Mar 26/04 1109.19 1115.27 1106.13 1108.06 13,191,000 1108.06

1812 Mar 29/04 1108.06 1124.37 1108.06 1122.47 14,055,000 1122.47

1813 Mar 30/04 1122.47 1127.60 1119.66 1127.00 13,324,000 1127.00

1814 Mar 31/04 1127.00 1130.83 1121.46 1126.21 15,607,000 1126.21

1815 Apr 1/04 1126.21 1135.67 1126.20 1132.17 15,607,000 1132.17

1816 Apr 2/04 1132.17 1144.81 1132.17 1141.81 16,292,000 1141.81

1817 Apr 5/04 1141.81 1150.57 1141.64 1150.57 14,137,000 1150.57

1818 Apr 6/04 1150.57 1150.57 1143.30 1148.16 13,977,000 1148.16

1819 Apr 7/04 1148.16 1148.16 1138.41 1140.53 14,588,000 1140.53

1820 Apr 8/04 1140.53 1148.97 1134.52 1139.32 11,998,000 1139.32

1821 Apr 12/04 1139.32 1147.29 1139.32 1145.20 11,024,000 1145.20

1822 Apr 13/04 1145.20 1147.78 1127.70 1129.44 14,232,000 1129.44

1823 Apr 14/04 1129.44 1132.52 1122.15 1128.17 15,477,000 1128.17

1824 Apr 15/04 1128.17 1134.08 1120.75 1128.84 15,687,000 1128.84

1825 Apr 16/04 1128.84 1136.80 1126.90 1134.61 14,878,000 1134.61

1826 Apr 19/04 1134.56 1136.18 1129.84 1135.82 11,949,000 1135.82

1827 Apr 20/04 1135.82 1139.26 1118.09 1118.15 15,085,000 1118.15

Page 39: GARCH Example

1828 Apr 21/04 1118.15 1125.72 1116.03 1124.09 17,381,000 1124.09

1829 Apr 22/04 1124.09 1142.77 1121.95 1139.93 18,267,000 1139.93

1830 Apr 23/04 1139.93 1141.92 1134.81 1140.60 13,961,000 1140.60

1831 Apr 26/04 1140.60 1145.08 1132.91 1135.53 12,906,000 1135.53

1832 Apr 27/04 1135.53 1146.56 1135.53 1138.11 15,180,000 1138.11

1833 Apr 28/04 1138.11 1138.11 1121.70 1122.41 18,556,000 1122.41

1834 Apr 29/04 1122.41 1128.80 1108.04 1113.89 18,590,000 1113.89

1835 Apr 30/04 1113.89 1119.26 1107.23 1107.30 16,347,000 1107.30

1836 May 3/04 1107.30 1118.72 1107.30 1117.49 15,716,000 1117.49

1837 May 4/04 1117.49 1127.74 1112.89 1119.55 16,621,000 1119.55

1838 May 5/04 1119.55 1125.07 1117.90 1121.53 14,690,000 1121.53

1839 May 6/04 1121.53 1121.53 1106.30 1113.99 15,093,000 1113.99

1840 May 7/04 1113.99 1117.30 1098.63 1098.70 16,536,000 1098.70

1841 May 10/04 1098.70 1098.70 1079.63 1087.12 19,184,000 1087.12

1842 May 11/04 1087.12 1095.69 1087.12 1095.45 15,338,000 1095.45

1843 May 12/04 1095.45 1097.55 1076.32 1097.28 16,976,000 1097.28

1844 May 13/04 1097.28 1102.77 1091.76 1096.44 14,111,000 1096.44

1845 May 14/04 1096.44 1102.10 1088.24 1095.70 13,359,000 1095.70

1846 May 17/04 1095.70 1095.70 1079.36 1084.10 14,301,000 1084.10

1847 May 18/04 1084.10 1094.10 1084.10 1091.49 13,530,000 1091.49

1848 May 19/04 1091.49 1105.93 1088.49 1088.68 15,486,000 1088.68

1849 May 20/04 1088.68 1092.62 1085.43 1089.19 12,110,000 1089.19

1850 May 21/04 1089.19 1099.64 1089.19 1093.56 12,586,000 1093.56

1851 May 24/04 1093.56 1101.28 1091.77 1095.41 12,275,000 1095.41

1852 May 25/04 1095.41 1113.80 1090.74 1113.05 15,457,000 1113.05

1853 May 26/04 1113.05 1116.71 1109.91 1114.94 13,694,000 1114.94

1854 May 27/04 1114.94 1123.95 1114.86 1121.28 14,475,000 1121.28

1855 May 28/04 1121.28 1122.69 1118.10 1120.68 11,726,000 1120.68

1856 Jun 1/04 1120.68 1122.70 1113.32 1121.20 12,380,000 1121.20

1857 Jun 2/04 1121.20 1128.10 1118.64 1124.99 12,517,000 1124.99

1858 Jun 3/04 1124.99 1125.31 1116.57 1116.64 12,324,000 1116.64

1859 Jun 4/04 1116.64 1129.17 1116.64 1122.50 11,153,000 1122.50

1860 Jun 7/04 1122.50 1140.54 1122.50 1140.42 12,118,000 1140.42

1861 Jun 8/04 1140.42 1142.18 1135.45 1142.18 11,903,000 1142.18

1862 Jun 9/04 1142.18 1142.18 1131.17 1131.33 12,768,000 1131.33

1863 Jun 10/04 1131.33 1136.47 1131.33 1136.47 11,606,000 1136.47

1864 Jun 14/04 1136.47 1136.47 1122.16 1125.29 11,794,000 1125.29

1865 Jun 15/04 1125.29 1137.36 1125.29 1132.01 13,459,000 1132.01

1866 Jun 16/04 1132.01 1135.28 1130.55 1133.56 11,684,000 1133.56

1867 Jun 17/04 1133.56 1133.56 1126.89 1132.05 12,967,000 1132.05

1868 Jun 18/04 1132.05 1138.96 1129.83 1135.02 15,006,000 1135.02

1869 Jun 21/04 1135.02 1138.05 1129.64 1130.30 11,239,000 1130.30

1870 Jun 22/04 1130.30 1135.05 1124.37 1134.41 13,823,000 1134.41

1871 Jun 23/04 1134.41 1145.15 1131.73 1144.06 14,442,000 1144.06

1872 Jun 24/04 1144.06 1146.34 1139.94 1140.65 13,949,000 1140.65

1873 Jun 25/04 1140.65 1145.97 1134.24 1134.43 18,129,000 1134.43

1874 Jun 28/04 1134.43 1142.60 1131.72 1133.35 13,546,000 1133.35

1875 Jun 29/04 1133.35 1138.26 1131.81 1136.20 13,750,000 1136.20

1876 Jun 30/04 1136.20 1144.20 1133.62 1140.84 14,738,000 1140.84

1877 Jul 1/04 1140.84 1140.84 1123.06 1128.94 14,957,000 1128.94

1878 Jul 2/04 1128.94 1129.15 1123.26 1125.38 10,850,000 1125.38

Page 40: GARCH Example

1879 Jul 6/04 1125.38 1125.38 1113.21 1116.21 12,833,000 1116.21

1880 Jul 7/04 1116.21 1122.37 1114.92 1118.33 13,286,000 1118.33

1881 Jul 8/04 1118.33 1119.12 1108.72 1109.11 14,011,000 1109.11

1882 Jul 9/04 1109.11 1115.57 1109.11 1112.81 11,863,000 1112.81

1883 Jul 12/04 1112.81 1116.11 1106.71 1114.35 11,146,000 1114.35

1884 Jul 13/04 1114.35 1116.30 1112.99 1115.14 11,997,000 1115.14

1885 Jul 14/04 1115.14 1119.60 1107.83 1111.47 14,620,000 1111.47

1886 Jul 15/04 1111.47 1114.63 1106.67 1106.69 14,087,000 1106.69

1887 Jul 16/04 1106.69 1112.17 1101.07 1101.39 14,503,000 1101.39

1888 Jul 19/04 1101.39 1105.52 1096.55 1100.90 13,199,000 1100.90

1889 Jul 20/04 1100.90 1108.88 1099.10 1108.67 14,458,000 1108.67

1890 Jul 21/04 1108.67 1116.27 1093.88 1093.88 16,795,000 1093.88

1891 Jul 22/04 1093.88 1099.66 1084.16 1096.84 16,808,000 1096.84

1892 Jul 23/04 1096.84 1096.84 1083.56 1086.20 13,375,000 1086.20

1893 Jul 26/04 1086.20 1089.82 1078.78 1084.07 14,134,000 1084.07

1894 Jul 27/04 1084.07 1096.65 1084.07 1094.83 16,108,000 1094.83

1895 Jul 28/04 1094.83 1098.84 1082.17 1095.42 15,543,000 1095.42

1896 Jul 29/04 1095.42 1103.51 1095.42 1100.43 15,301,000 1100.43

1897 Jul 30/04 1100.43 1103.73 1096.96 1101.72 12,982,000 1101.72

1898 Aug 2/04 1101.72 1108.60 1097.34 1106.62 12,760,000 1106.62

1899 Aug 3/04 1106.62 1106.62 1099.26 1099.69 13,383,000 1099.69

1900 Aug 4/04 1099.69 1102.45 1092.40 1098.63 13,692,000 1098.63

1901 Aug 5/04 1098.63 1098.79 1079.98 1080.70 13,974,000 1080.70

1902 Aug 6/04 1080.70 1080.70 1062.23 1063.97 15,210,000 1063.97

1903 Aug 9/04 1063.97 1069.46 1063.97 1065.22 10,860,000 1065.22

1904 Aug 10/04 1065.22 1079.04 1065.22 1079.04 12,456,000 1079.04

1905 Aug 11/04 1079.04 1079.04 1065.92 1075.79 14,104,000 1075.79

1906 Aug 12/04 1075.79 1075.79 1062.82 1063.23 14,051,000 1063.23

1907 Aug 13/04 1063.23 1067.58 1060.72 1064.80 11,751,000 1064.80

1908 Aug 16/04 1064.80 1080.66 1064.80 1079.34 12,062,000 1079.34

1909 Aug 17/04 1079.34 1086.78 1079.34 1081.71 12,678,000 1081.71

1910 Aug 18/04 1081.71 1095.17 1078.93 1095.17 12,825,000 1095.17

1911 Aug 19/04 1095.17 1095.17 1086.28 1091.23 12,494,000 1091.23

1912 Aug 20/04 1091.23 1100.26 1089.57 1098.35 11,999,000 1098.35

1913 Aug 23/04 1098.35 1101.40 1094.73 1095.68 10,219,000 1095.68

1914 Aug 24/04 1095.68 1100.94 1092.82 1096.19 10,925,000 1096.19

1915 Aug 25/04 1096.19 1106.29 1093.24 1104.96 11,922,000 1104.96

1916 Aug 26/04 1104.96 1106.78 1102.46 1105.09 10,236,000 1105.09

1917 Aug 27/04 1105.09 1109.68 1104.62 1107.77 8,454,000 1107.77

1918 Aug 30/04 1107.77 1107.77 1099.15 1099.15 8,431,000 1099.15

1919 Aug 31/04 1099.15 1104.24 1094.72 1104.24 11,382,000 1104.24

1920 Sep 1/04 1104.24 1109.24 1099.18 1105.91 11,421,000 1105.91

1921 Sep 2/04 1105.91 1119.11 1105.60 1118.31 11,184,000 1118.31

1922 Sep 3/04 1118.31 1120.80 1113.57 1113.63 9,241,700 1113.63

1923 Sep 7/04 1113.63 1124.08 1113.63 1121.30 12,144,000 1121.30

1924 Sep 8/04 1121.30 1123.05 1116.27 1116.27 12,463,000 1116.27

1925 Sep 9/04 1116.27 1121.30 1113.62 1118.38 13,713,000 1118.38

1926 Sep 10/04 1118.38 1125.26 1114.39 1123.92 12,612,000 1123.92

1927 Sep 13/04 1123.92 1129.78 1123.35 1125.82 12,998,000 1125.82

1928 Sep 14/04 1125.82 1129.46 1124.72 1128.33 12,045,000 1128.33

1929 Sep 15/04 1128.33 1128.33 1119.82 1120.37 12,560,000 1120.37

Page 41: GARCH Example

1930 Sep 16/04 1120.37 1126.06 1120.37 1123.50 11,139,000 1123.50

1931 Sep 17/04 1123.50 1130.14 1123.50 1128.55 14,226,000 1128.55

1932 Sep 20/04 1128.55 1128.55 1120.34 1122.20 11,976,000 1122.20

1933 Sep 21/04 1122.20 1131.54 1122.20 1129.30 13,250,000 1129.30

1934 Sep 22/04 1129.30 1129.30 1112.67 1113.56 13,799,000 1113.56

1935 Sep 23/04 1113.56 1113.61 1108.05 1108.36 12,863,000 1108.36

1936 Sep 24/04 1108.36 1113.81 1108.36 1110.11 12,554,000 1110.11

1937 Sep 27/04 1110.11 1110.11 1103.24 1103.52 12,635,000 1103.52

1938 Sep 28/04 1103.52 1111.77 1101.29 1110.06 13,966,000 1110.06

1939 Sep 29/04 1110.06 1114.80 1107.42 1114.80 14,029,000 1114.80

1940 Sep 30/04 1114.80 1116.31 1109.68 1114.58 17,480,000 1114.58

1941 Oct 1/04 1114.58 1131.64 1114.58 1131.50 15,822,000 1131.50

1942 Oct 4/04 1131.50 1140.13 1131.50 1135.17 15,340,000 1135.17

1943 Oct 5/04 1135.17 1137.87 1132.03 1134.48 14,184,000 1134.48

1944 Oct 6/04 1134.48 1142.05 1132.94 1142.05 14,167,000 1142.05

1945 Oct 7/04 1142.05 1142.05 1130.50 1130.65 14,475,000 1130.65

1946 Oct 8/04 1130.65 1132.92 1120.19 1122.14 12,916,000 1122.14

1947 Oct 11/04 1122.14 1126.20 1122.14 1124.39 9,438,000 1124.39

1948 Oct 12/04 1124.39 1124.39 1115.77 1121.84 13,201,000 1121.84

1949 Oct 13/04 1121.84 1127.01 1109.63 1113.65 15,462,000 1113.65

1950 Oct 14/04 1113.65 1114.96 1102.06 1103.29 14,895,000 1103.29

1951 Oct 15/04 1103.29 1113.17 1102.14 1108.20 16,451,000 1108.20

1952 Oct 18/04 1108.20 1114.46 1103.33 1114.02 13,733,000 1114.02

1953 Oct 19/04 1114.02 1117.96 1103.15 1103.23 17,375,000 1103.23

1954 Oct 20/04 1103.23 1104.09 1094.25 1103.66 16,857,000 1103.66

1955 Oct 21/04 1103.66 1108.87 1098.47 1106.49 16,730,000 1106.49

1956 Oct 22/04 1106.49 1108.14 1095.47 1095.74 14,696,000 1095.74

1957 Oct 25/04 1095.74 1096.81 1090.29 1094.80 13,805,000 1094.80

1958 Oct 26/04 1094.81 1111.10 1094.81 1111.09 16,854,000 1111.09

1959 Oct 27/04 1111.09 1126.29 1107.43 1125.40 17,419,000 1125.40

1960 Oct 28/04 1125.34 1130.67 1120.60 1127.44 16,282,000 1127.44

1961 Oct 29/04 1127.44 1131.40 1124.62 1130.20 15,008,000 1130.20

1962 Nov 1/04 1130.20 1133.41 1127.60 1130.51 13,959,000 1130.51

1963 Nov 2/04 1130.51 1140.48 1128.12 1130.56 16,590,000 1130.56

1964 Nov 3/04 1130.54 1147.57 1130.54 1143.20 17,675,000 1143.20

1965 Nov 4/04 1143.20 1161.67 1142.34 1161.67 17,827,000 1161.67

1966 Nov 5/04 1161.67 1170.87 1160.66 1166.17 17,244,000 1166.17

1967 Nov 8/04 1166.17 1166.77 1162.32 1164.89 13,587,000 1164.89

1968 Nov 9/04 1164.89 1168.96 1162.48 1164.08 14,508,000 1164.08

1969 Nov 10/04 1164.08 1169.25 1162.51 1162.91 15,043,000 1162.91

1970 Nov 11/04 1162.91 1174.80 1162.91 1173.48 13,930,000 1173.48

1971 Nov 12/04 1173.48 1184.17 1171.43 1184.17 15,316,000 1184.17

1972 Nov 15/04 1184.17 1184.48 1179.85 1183.81 14,533,000 1183.81

1973 Nov 16/04 1183.81 1183.81 1175.32 1175.43 13,644,000 1175.43

1974 Nov 17/04 1175.43 1188.46 1175.43 1181.94 16,842,000 1181.94

1975 Nov 18/04 1181.94 1184.90 1180.15 1183.55 14,567,000 1183.55

1976 Nov 19/04 1183.55 1184.00 1169.19 1170.34 15,266,000 1170.34

1977 Nov 22/04 1170.34 1178.18 1167.89 1177.24 13,927,000 1177.24

1978 Nov 23/04 1177.24 1179.52 1171.41 1176.94 14,283,000 1176.94

1979 Nov 24/04 1176.94 1182.46 1176.94 1181.76 11,496,000 1181.76

1980 Nov 26/04 1181.76 1186.62 1181.08 1182.65 5,045,800 1182.65

Page 42: GARCH Example

1981 Nov 29/04 1182.65 1186.94 1172.37 1178.57 13,785,000 1178.57

1982 Nov 30/04 1178.57 1178.66 1173.81 1173.82 15,535,000 1173.82

1983 Dec 1/04 1173.78 1191.37 1173.78 1191.37 17,728,000 1191.37

1984 Dec 2/04 1191.37 1194.80 1186.72 1190.33 17,749,000 1190.33

1985 Dec 3/04 1190.33 1197.46 1187.71 1191.17 15,667,000 1191.17

1986 Dec 6/04 1191.17 1192.41 1185.18 1190.25 13,544,000 1190.25

1987 Dec 7/04 1190.25 1192.17 1177.07 1177.07 15,339,000 1177.07

1988 Dec 8/04 1177.07 1184.05 1177.07 1182.81 15,252,000 1182.81

1989 Dec 9/04 1182.81 1190.51 1173.79 1189.24 16,247,000 1189.24

1990 Dec 10/04 1189.24 1191.45 1185.24 1188.00 14,437,000 1188.00

1991 Dec 13/04 1188.00 1198.74 1188.00 1198.68 14,361,000 1198.68

1992 Dec 14/04 1198.68 1205.29 1197.84 1203.38 15,444,000 1203.38

1993 Dec 15/04 1203.38 1206.61 1199.44 1205.72 16,958,000 1205.72

1994 Dec 16/04 1205.72 1207.97 1198.41 1203.21 17,939,000 1203.21

1995 Dec 17/04 1203.21 1203.21 1193.49 1194.20 23,350,000 1194.20

1996 Dec 20/04 1194.20 1203.43 1193.36 1194.65 14,228,000 1194.65

1997 Dec 21/04 1194.65 1205.93 1194.65 1205.45 14,819,000 1205.45

1998 Dec 22/04 1205.45 1211.42 1203.85 1209.57 13,908,000 1209.57

1999 Dec 23/04 1209.57 1213.66 1208.71 1210.13 9,561,000 1210.13

2000 Dec 27/04 1210.13 1214.13 1204.92 1204.92 9,220,000 1204.92

2001 Dec 28/04 1204.92 1213.54 1204.92 1213.54 9,830,000 1213.54

2002 Dec 29/04 1213.54 1213.85 1210.95 1213.45 9,259,000 1213.45

2003 Dec 30/04 1213.45 1216.47 1213.41 1213.55 8,298,000 1213.55

2004 Dec 31/04 1213.55 1217.33 1211.65 1211.92 7,869,000 1211.92

2005 Jan 3/05 1211.92 1217.80 1200.32 1202.08 15,108,000 1202.08

2006 Jan 4/05 1202.08 1205.84 1185.39 1188.05 17,210,000 1188.05

2007 Jan 5/05 1188.05 1192.73 1183.72 1183.74 17,389,000 1183.74

2008 Jan 6/05 1183.74 1191.63 1183.27 1187.89 15,691,000 1187.89

2009 Jan 7/05 1187.89 1192.20 1182.16 1186.19 14,779,000 1186.19

2010 Jan 10/05 1186.19 1194.78 1184.80 1190.25 14,904,000 1190.25

2011 Jan 11/05 1190.25 1190.25 1180.43 1182.99 14,888,000 1182.99

Jan 12/05 1182.99 1187.92 1175.64 1187.70 15,621,000 1187.70

Jan 13/05 1187.70 1187.70 1175.81 1177.45 15,103,000 1177.45

Page 43: GARCH Example

0.0000005 0.08 0

0.0010 0.01 SUM[log(L)] -669

0.0010 0.9 Best (so far) -670

0.05 PLOT : a1 = 0.0900 Max -3.9147

PLOT : b1 = 0.9000 -670 0.39894228

Returns e(k) s(k) log(L) Prob[ ] SD-lag s(k)-lag 3.50478E-06

1.23% 1.23% 0.10% -72.78 0 0.00% 0.10% 0.0700

-0.22% -1.45% 0.44% -3.99 0 1.34% 0.27% 0.8500

0.33% 0.55% 0.64% 0.77 2 1.14% 0.39% -937.5348

0.83% 0.50% 0.65% 0.82 45.5% 1.00% 0.46% 0.8625

0.07% -0.77% 0.66% 0.43 30.8% 0.97% 0.50% -860.7891

0.78% 0.71% 0.69% 0.54 34.2% 0.93% 0.53% 0.8750

0.45% -0.33% 0.71% 0.93 50.5% 0.87% 0.56% -794.4977

-1.10% -1.55% 0.70% -1.40 5.0% 0.98% 0.57% 0.8875

-0.91% 0.20% 0.84% 0.84 46.1% 0.93% 0.60% -740.4203

-0.71% 0.19% 0.82% 0.87 47.5% 0.88% 0.62% 0.9000

0.00% 0.71% 0.79% 0.52 33.5% 0.82% 0.69% -700.9630

0.98% 0.98% 0.80% 0.17 23.7% 0.74% 0.73% 0.9125

1.51% 0.53% 0.84% 0.67 39.0% 0.74% 0.75% -679.5282

0.25% -1.26% 0.83% -0.28 15.2% 0.83% 0.77% 0.9250

0.07% -0.18% 0.89% 0.78 43.8% 0.80% 0.79% -681.1326

0.32% 0.25% 0.86% 0.80 44.4% 0.77% 0.81% 0.9375

-1.39% -1.71% 0.84% -1.23 5.9% 0.92% 0.82% -713.5824

0.24% 1.63% 0.97% -0.69 10.0% 0.94% 0.85% 0.9500

1.21% 0.97% 1.07% 0.22 24.8% 0.98% 0.87% -789.9467126

-0.52% -1.73% 1.07% -0.69 10.0% 1.14% 0.90%

0.53% 1.05% 1.16% 0.13 22.8% 1.16% 0.93%

1.67% 1.14% 1.15% 0.06 21.2% 1.18% 0.97%

1.13% -0.54% 1.16% 0.43 30.8% 1.18% 1.00%

-0.41% -1.54% 1.12% -0.36 13.9% 1.21% 1.03%

0.97% 1.38% 1.18% -0.16 17.1% 1.28% 1.06%

-0.47% -1.43% 1.21% -0.20 16.4% 1.36% 1.09%

-1.19% -0.73% 1.24% 0.30 27.1% 1.27% 1.13%

-0.13% 1.06% 1.20% 0.11 22.4% 1.21% 1.16%

1.06% 1.19% 1.20% 0.02 20.3% 1.23% 1.17%

0.22% -0.85% 1.20% 0.26 25.9% 1.13% 1.18%

-0.78% -1.00% 1.18% 0.17 23.6% 1.12% 1.18%

-1.32% -0.53% 1.17% 0.43 30.7% 1.04% 1.19%

-0.53% 0.78% 1.13% 0.33 27.8% 1.08% 1.18%

0.57% 1.10% 1.11% 0.09 21.9% 1.04% 1.18%

-0.55% -1.12% 1.12% 0.08 21.7% 1.00% 1.18%

1.40% 1.94% 1.13% -0.92 8.0% 1.08% 1.17%

-0.43% -1.82% 1.24% -0.61 10.9% 1.21% 1.17%

0.80% 1.23% 1.31% -0.02 19.6% 1.23% 1.18%

1.08% 0.28% 1.31% 0.40 29.8% 1.17% 1.19%

-0.28% -1.36% 1.25% -0.13 17.6% 1.22% 1.20%

-0.87% -0.59% 1.27% 0.34 28.2% 1.19% 1.20%

-1.83% -0.96% 1.23% 0.18 24.0% 1.22% 1.21%

0.46% 2.28% 1.21% -1.28 5.5% 1.39% 1.22%

0.07

00

0.07

25

0.07

50

0.07

75

0.08

00

0.08

25

0.08

50

0.08

75

-1000

-900

-800

-700

-600

-500

-400

-300

-200

-100

0

0.8500

0.8625

0.8750

0.8875

0.9000

0.9125

0.9250

0.9375

0.9500

a1

SUM[log(L)]

b1

SUM[log(L)] vs (a1,b1) for a0 = 0.000004

0.0

70

0

0.0

72

5

0.0

75

0

0.0

77

5

0.0

80

0

0.0

82

5

0.0

85

0

0.0

87

5

-1000.00

-900.00

-800.00

-700.00

-600.00

-500.00

-400.00

-300.00

-200.00

-100.00

0.00

0.8500 0.8750 0.9000 0.9250

0.9500

a1

b1 =

SUM[log(L)] vs (a1,b1) for a0 = 0.000004

0%

4%

8%

12

%1

6%

20

%2

4%

28

%3

2%

36

%4

0%

44

%4

8%

52

%5

6%

60

%6

4%

68

%7

2%

76

%8

0%

84

%8

8%

92

%9

6%

10

0%

0

10

20

30

40

50

60

70

80

90

100Average Probability = 19%

Page 44: GARCH Example

0.32% -0.14% 1.36% 0.38 29.2% 1.35% 1.24%

-0.76% -1.08% 1.30% 0.08 21.7% 1.35% 1.26%

-0.49% 0.27% 1.28% 0.42 30.4% 1.19% 1.28%

-0.40% 0.10% 1.23% 0.48 32.4% 1.06% 1.28%

0.19% 0.58% 1.17% 0.41 30.1% 1.00% 1.26%

0.87% 0.68% 1.14% 0.38 29.4% 1.02% 1.24%

-0.23% -1.10% 1.11% 0.10 22.1% 0.99% 1.23%

0.18% 0.41% 1.11% 0.51 33.4% 0.97% 1.21%

-2.10% -2.28% 1.07% -1.64 3.9% 1.18% 1.20%

-2.17% -0.06% 1.25% 0.46 31.8% 0.89% 1.20%

0.33% 2.50% 1.20% -1.66 3.8% 1.22% 1.19%

-1.25% -1.59% 1.39% -0.29 14.9% 1.27% 1.20%

0.03% 1.28% 1.41% -0.07 18.7% 1.33% 1.21%

1.01% 0.98% 1.40% 0.11 22.2% 1.36% 1.23%

0.56% -0.45% 1.37% 0.32 27.5% 1.36% 1.25%

0.52% -0.03% 1.32% 0.42 30.3% 1.35% 1.26%

-0.72% -1.24% 1.25% -0.03 19.4% 1.36% 1.28%

-0.30% 0.42% 1.26% 0.40 29.9% 1.36% 1.29%

-2.73% -2.43% 1.21% -1.52 4.4% 1.38% 1.31%

0.82% 3.55% 1.38% -2.93 1.1% 1.76% 1.32%

1.48% 0.65% 1.73% 0.07 21.5% 1.61% 1.37%

1.17% -0.31% 1.65% 0.17 23.7% 1.52% 1.40%

-0.23% -1.40% 1.57% -0.16 17.1% 1.55% 1.42%

0.60% 0.83% 1.56% 0.10 22.2% 1.54% 1.43%

-0.78% -1.38% 1.50% -0.14 17.4% 1.59% 1.44%

1.87% 2.65% 1.50% -1.28 5.5% 1.79% 1.46%

-0.13% -2.00% 1.65% -0.54 11.6% 1.86% 1.50%

-0.32% -0.19% 1.69% 0.16 23.5% 1.86% 1.54%

-0.75% -0.44% 1.60% 0.18 24.0% 1.69% 1.58%

0.99% 1.75% 1.53% -0.39 13.6% 1.39% 1.60%

2.73% 1.74% 1.56% -0.37 13.7% 1.48% 1.58%

0.92% -1.81% 1.58% -0.42 13.1% 1.59% 1.57%

-0.35% -1.27% 1.60% -0.09 18.2% 1.57% 1.58%

1.81% 2.16% 1.57% -0.70 9.9% 1.69% 1.58%

2.13% 0.32% 1.64% 0.17 23.8% 1.62% 1.59%

-0.30% -2.44% 1.56% -0.97 7.6% 1.59% 1.60%

-1.47% -1.16% 1.67% -0.07 18.7% 1.52% 1.60%

0.57% 2.04% 1.63% -0.58 11.2% 1.65% 1.60%

0.55% -0.02% 1.68% 0.17 23.8% 1.64% 1.60%

1.56% 1.01% 1.59% 0.02 20.5% 1.58% 1.61%

-0.54% -2.10% 1.55% -0.67 10.2% 1.60% 1.61%

0.35% 0.89% 1.61% 0.06 21.3% 1.55% 1.61%

0.70% 0.35% 1.56% 0.22 25.0% 1.50% 1.61%

-1.44% -2.14% 1.48% -0.74 9.5% 1.46% 1.60%

0.42% 1.87% 1.56% -0.47 12.5% 1.60% 1.59%

1.01% 0.58% 1.60% 0.16 23.4% 1.42% 1.59%

-0.27% -1.28% 1.53% -0.09 18.4% 1.43% 1.58%

-0.44% -0.17% 1.51% 0.27 26.3% 1.28% 1.57%

1.36% 1.80% 1.44% -0.46 12.7% 1.40% 1.54%

0.32% -1.04% 1.48% 0.05 21.0% 1.40% 1.53%

-0.29% -0.61% 1.45% 0.23 25.2% 1.25% 1.52%

Page 45: GARCH Example

-0.37% -0.08% 1.39% 0.36 28.7% 1.22% 1.50%

0.50% 0.87% 1.32% 0.20 24.3% 1.25% 1.48%

-0.23% -0.72% 1.29% 0.28 26.4% 1.06% 1.46%

-0.10% 0.12% 1.25% 0.46 31.7% 0.89% 1.43%

-0.64% -0.53% 1.20% 0.41 30.2% 0.88% 1.39%

0.40% 1.03% 1.16% 0.15 23.2% 0.86% 1.35%

1.73% 1.33% 1.15% -0.12 17.7% 0.93% 1.31%

0.57% -1.16% 1.18% 0.04 20.9% 0.85% 1.29%

0.27% -0.30% 1.18% 0.49 32.7% 0.79% 1.26%

0.50% 0.22% 1.14% 0.54 34.5% 0.76% 1.23%

1.60% 1.10% 1.09% 0.09 22.0% 0.82% 1.20%

1.11% -0.49% 1.10% 0.50 32.9% 0.81% 1.17%

0.07% -1.04% 1.06% 0.15 23.3% 0.84% 1.15%

0.06% -0.01% 1.07% 0.62 37.3% 0.84% 1.13%

-0.60% -0.66% 1.03% 0.46 31.7% 0.85% 1.12%

1.00% 1.60% 1.01% -0.59 11.1% 0.94% 1.10%

0.08% -0.93% 1.09% 0.24 25.5% 0.87% 1.09%

-2.23% -2.31% 1.08% -1.67 3.8% 1.05% 1.08%

2.02% 4.25% 1.27% -5.18 0.1% 1.72% 1.09%

-0.82% -2.84% 1.80% -1.14 6.4% 1.94% 1.16%

-0.60% 0.22% 1.93% 0.03 20.6% 1.90% 1.24%

0.41% 1.01% 1.83% -0.06 18.7% 1.93% 1.32%

-0.24% -0.65% 1.76% 0.05 21.1% 1.92% 1.39%

0.67% 0.91% 1.69% 0.02 20.5% 1.94% 1.45%

1.46% 0.79% 1.63% 0.08 21.8% 1.93% 1.51%

1.43% -0.03% 1.57% 0.24 25.5% 1.88% 1.56%

-0.51% -1.94% 1.49% -0.56 11.5% 1.95% 1.60%

0.72% 1.23% 1.54% -0.06 18.8% 1.83% 1.65%

-1.22% -1.94% 1.52% -0.54 11.6% 1.38% 1.68%

0.69% 1.91% 1.57% -0.50 12.1% 1.24% 1.65%

0.32% -0.37% 1.60% 0.19 24.2% 1.25% 1.62%

0.19% -0.13% 1.53% 0.26 26.0% 1.21% 1.59%

0.80% 0.62% 1.46% 0.22 25.0% 1.21% 1.56%

1.17% 0.37% 1.40% 0.32 27.6% 1.18% 1.53%

-0.53% -1.70% 1.34% -0.41 13.3% 1.26% 1.50%

-1.75% -1.22% 1.38% -0.02 19.6% 1.29% 1.48%

-0.26% 1.49% 1.37% -0.22 16.1% 1.27% 1.47%

2.30% 2.56% 1.39% -1.34 5.2% 1.45% 1.46%

0.28% -2.03% 1.55% -0.61 10.9% 1.46% 1.46%

0.40% 0.12% 1.60% 0.22 24.8% 1.34% 1.46%

-0.16% -0.56% 1.52% 0.20 24.5% 1.35% 1.45%

-0.25% -0.09% 1.46% 0.31 27.3% 1.35% 1.45%

0.62% 0.87% 1.39% 0.16 23.6% 1.36% 1.44%

1.06% 0.44% 1.35% 0.34 28.0% 1.36% 1.44%

0.21% -0.85% 1.30% 0.22 24.8% 1.28% 1.43%

-0.75% -0.96% 1.27% 0.17 23.6% 1.25% 1.42%

0.33% 1.08% 1.24% 0.09 21.9% 1.21% 1.41%

0.22% -0.12% 1.24% 0.47 32.1% 0.88% 1.39%

0.83% 0.62% 1.18% 0.39 29.5% 0.67% 1.36%

-0.95% -1.79% 1.15% -0.66 10.3% 0.87% 1.31%

-1.86% -0.90% 1.23% 0.21 24.7% 0.89% 1.28%

Page 46: GARCH Example

0.37% 2.23% 1.21% -1.19 6.1% 1.14% 1.26%

-1.12% -1.49% 1.35% -0.22 16.1% 1.20% 1.25%

-0.49% 0.63% 1.37% 0.27 26.2% 1.21% 1.25%

0.30% 0.79% 1.32% 0.24 25.3% 1.21% 1.26%

-2.59% -2.89% 1.28% -2.10 2.5% 1.48% 1.26%

1.30% 3.89% 1.52% -2.99 1.0% 1.90% 1.28%

1.48% 0.19% 1.89% 0.05 21.0% 1.89% 1.35%

1.44% -0.04% 1.80% 0.10 22.2% 1.89% 1.41%

-1.52% -2.96% 1.71% -1.35 5.2% 2.03% 1.47%

-0.16% 1.36% 1.87% -0.20 16.4% 2.05% 1.53%

-0.37% -0.20% 1.82% 0.08 21.8% 1.93% 1.59%

-0.78% -0.41% 1.73% 0.11 22.4% 1.88% 1.63%

0.07% 0.85% 1.65% 0.06 21.2% 1.89% 1.66%

-1.10% -1.17% 1.59% -0.04 19.1% 1.90% 1.69%

-0.46% 0.63% 1.55% 0.17 23.6% 1.67% 1.71%

3.13% 3.59% 1.49% -2.61 1.5% 1.61% 1.71%

0.03% -3.09% 1.81% -1.36 5.1% 1.89% 1.70%

0.32% 0.29% 1.98% 0.00 20.0% 1.89% 1.72%

-0.20% -0.52% 1.88% 0.02 20.5% 1.65% 1.74%

0.23% 0.43% 1.79% 0.08 21.7% 1.60% 1.73%

0.26% 0.03% 1.70% 0.16 23.5% 1.60% 1.72%

-1.56% -1.82% 1.62% -0.43 13.1% 1.70% 1.70%

-0.70% 0.86% 1.64% 0.06 21.2% 1.70% 1.70%

1.24% 1.94% 1.58% -0.52 11.9% 1.75% 1.70%

-0.45% -1.69% 1.62% -0.34 14.3% 1.84% 1.71%

2.81% 3.26% 1.63% -1.80 3.3% 1.77% 1.72%

-0.28% -3.09% 1.86% -1.32 5.4% 1.77% 1.73%

0.45% 0.73% 2.01% -0.07 18.6% 1.79% 1.73%

0.34% -0.12% 1.92% 0.04 20.7% 1.78% 1.74%

0.52% 0.18% 1.82% 0.09 21.8% 1.77% 1.74%

-0.37% -0.88% 1.73% 0.01 20.2% 1.79% 1.74%

-0.78% -0.42% 1.67% 0.15 23.2% 1.70% 1.75%

-0.70% 0.09% 1.59% 0.23 25.1% 1.68% 1.74%

0.78% 1.48% 1.51% -0.20 16.4% 1.64% 1.73%

0.86% 0.08% 1.51% 0.28 26.4% 1.54% 1.72%

-0.64% -1.49% 1.44% -0.21 16.2% 1.20% 1.70%

0.86% 1.49% 1.44% -0.21 16.2% 0.90% 1.66%

0.53% -0.33% 1.45% 0.29 26.8% 0.88% 1.61%

0.48% -0.05% 1.39% 0.36 28.7% 0.88% 1.55%

0.79% 0.32% 1.32% 0.38 29.3% 0.88% 1.50%

1.07% 0.28% 1.26% 0.43 30.8% 0.83% 1.46%

-0.94% -2.02% 1.21% -0.89 8.2% 1.05% 1.41%

-0.33% 0.61% 1.32% 0.31 27.2% 1.07% 1.39%

-0.38% -0.04% 1.27% 0.45 31.4% 0.95% 1.36%

0.12% 0.49% 1.21% 0.42 30.3% 0.97% 1.33%

0.23% 0.11% 1.17% 0.53 34.0% 0.85% 1.31%

-0.47% -0.70% 1.12% 0.39 29.4% 0.73% 1.27%

-1.08% -0.61% 1.09% 0.44 31.2% 0.74% 1.24%

-1.16% -0.08% 1.06% 0.63 37.4% 0.74% 1.20%

1.21% 2.37% 1.02% -2.04 2.6% 1.06% 1.17%

1.74% 0.53% 1.23% 0.39 29.5% 1.07% 1.17%

Page 47: GARCH Example

-0.39% -2.13% 1.19% -1.10 6.7% 1.09% 1.17%

-1.84% -1.45% 1.32% -0.19 16.6% 1.16% 1.17%

-0.95% 0.89% 1.34% 0.18 24.0% 1.20% 1.17%

-6.87% -5.91% 1.30% -9.86 0.0% 2.11% 1.18%

5.12% 11.98% 2.23% -14.49 0.0% 4.36% 1.29%

-0.29% -5.41% 4.31% -1.56 4.2% 4.71% 1.61%

-1.68% -1.39% 4.42% -0.84 8.6% 4.72% 1.94%

1.21% 2.89% 4.19% -0.98 7.5% 4.80% 2.26%

2.66% 1.45% 4.07% -0.78 9.2% 4.77% 2.56%

0.19% -2.48% 3.87% -0.87 8.4% 4.83% 2.82%

0.21% 0.02% 3.74% -0.63 10.7% 4.79% 3.08%

-0.50% -0.71% 3.53% -0.59 11.1% 4.77% 3.30%

-1.12% -0.62% 3.35% -0.53 11.7% 4.77% 3.50%

-0.69% 0.43% 3.17% -0.47 12.5% 4.34% 3.69%

0.29% 0.98% 3.00% -0.46 12.6% 2.18% 3.77%

-1.93% -2.22% 2.86% -0.66 10.3% 1.59% 3.62%

1.18% 3.11% 2.79% -0.96 7.7% 1.80% 3.46%

1.28% 0.09% 2.81% -0.34 14.2% 1.58% 3.32%

1.92% 0.65% 2.66% -0.32 14.5% 1.52% 3.18%

-0.84% -2.77% 2.53% -0.84 8.7% 1.57% 3.04%

0.68% 1.52% 2.54% -0.42 13.1% 1.64% 2.92%

1.52% 0.85% 2.46% -0.27 15.3% 1.64% 2.82%

0.43% -1.09% 2.34% -0.27 15.3% 1.67% 2.72%

-1.70% -2.13% 2.24% -0.57 11.3% 1.80% 2.62%

0.44% 2.14% 2.23% -0.57 11.3% 1.90% 2.55%

0.09% -0.35% 2.21% -0.12 17.8% 1.76% 2.48%

0.40% 0.31% 2.10% -0.06 18.8% 1.47% 2.41%

2.03% 1.63% 1.99% -0.33 14.3% 1.56% 2.33%

-0.32% -2.34% 1.96% -0.70 9.9% 1.70% 2.26%

0.52% 0.84% 2.00% -0.09 18.3% 1.49% 2.21%

-0.38% -0.90% 1.91% -0.07 18.7% 1.44% 2.14%

1.10% 1.47% 1.84% -0.24 15.7% 1.50% 2.08%

-0.14% -1.24% 1.80% -0.14 17.5% 1.51% 2.03%

-0.67% -0.53% 1.75% 0.08 21.7% 1.36% 1.98%

-0.61% 0.06% 1.67% 0.17 23.8% 1.17% 1.92%

-1.53% -0.92% 1.59% 0.06 21.2% 1.20% 1.86%

-0.16% 1.37% 1.54% -0.14 17.5% 1.28% 1.81%

1.05% 1.21% 1.52% -0.05 19.1% 1.23% 1.76%

0.48% -0.57% 1.50% 0.21 24.8% 1.00% 1.71%

-0.26% -0.74% 1.44% 0.19 24.3% 0.99% 1.66%

-1.06% -0.80% 1.39% 0.20 24.3% 0.98% 1.60%

-0.89% 0.17% 1.35% 0.39 29.4% 0.85% 1.56%

0.73% 1.62% 1.28% -0.36 14.0% 0.93% 1.50%

-1.53% -2.26% 1.33% -1.04 7.1% 1.16% 1.46%

-0.68% 0.84% 1.45% 0.15 23.2% 1.19% 1.44%

0.40% 1.09% 1.41% 0.05 21.0% 1.19% 1.42%

1.80% 1.40% 1.38% -0.15 17.3% 1.19% 1.40%

1.83% 0.03% 1.39% 0.36 28.7% 1.14% 1.39%

-0.04% -1.88% 1.32% -0.60 11.0% 1.28% 1.37%

0.48% 0.52% 1.39% 0.29 26.8% 1.26% 1.37%

0.21% -0.27% 1.34% 0.38 29.3% 1.24% 1.36%

Page 48: GARCH Example

-1.07% -1.28% 1.28% -0.06 18.9% 1.31% 1.36%

-0.27% 0.81% 1.28% 0.24 25.5% 1.23% 1.36%

-0.82% -0.56% 1.25% 0.37 28.9% 1.01% 1.35%

-2.97% -2.14% 1.21% -1.07 6.8% 1.17% 1.32%

1.24% 4.21% 1.33% -4.58 0.2% 1.75% 1.32%

1.37% 0.13% 1.83% 0.08 21.7% 1.70% 1.36%

0.61% -0.76% 1.74% 0.04 20.8% 1.71% 1.40%

-0.75% -1.36% 1.67% -0.16 17.1% 1.66% 1.43%

1.13% 1.89% 1.64% -0.47 12.6% 1.76% 1.46%

1.78% 0.64% 1.67% 0.10 22.2% 1.76% 1.49%

-0.80% -2.57% 1.60% -1.07 6.8% 1.91% 1.52%

-0.80% 0.00% 1.72% 0.15 23.2% 1.89% 1.57%

-0.57% 0.23% 1.63% 0.19 24.2% 1.88% 1.60%

-0.07% 0.50% 1.55% 0.20 24.4% 1.74% 1.64%

1.26% 1.33% 1.49% -0.11 18.0% 1.23% 1.65%

0.87% -0.39% 1.47% 0.27 26.1% 1.23% 1.62%

0.82% -0.05% 1.41% 0.35 28.3% 1.21% 1.59%

-0.53% -1.35% 1.34% -0.11 17.9% 1.21% 1.55%

2.14% 2.67% 1.35% -1.57 4.2% 1.35% 1.52%

0.47% -1.67% 1.53% -0.33 14.4% 1.43% 1.51%

0.09% -0.38% 1.55% 0.22 25.0% 1.18% 1.50%

-0.33% -0.42% 1.48% 0.26 25.9% 1.19% 1.48%

0.89% 1.22% 1.41% -0.03 19.4% 1.25% 1.46%

-0.17% -1.06% 1.40% 0.07 21.4% 1.29% 1.44%

0.82% 0.99% 1.37% 0.11 22.4% 1.26% 1.43%

0.10% -0.72% 1.35% 0.25 25.7% 1.27% 1.42%

0.40% 0.31% 1.30% 0.40 29.8% 1.27% 1.41%

-0.40% -0.80% 1.25% 0.26 26.1% 1.23% 1.40%

0.26% 0.66% 1.22% 0.35 28.4% 0.90% 1.39%

0.91% 0.65% 1.18% 0.37 29.1% 0.77% 1.35%

-0.37% -1.28% 1.15% -0.07 18.7% 0.87% 1.31%

0.58% 0.94% 1.17% 0.21 24.6% 0.90% 1.28%

0.38% -0.20% 1.15% 0.53 34.1% 0.82% 1.25%

-0.73% -1.11% 1.11% 0.09 21.8% 0.83% 1.22%

1.20% 1.93% 1.12% -0.91 8.0% 0.98% 1.20%

0.55% -0.64% 1.23% 0.35 28.3% 0.97% 1.19%

0.06% -0.49% 1.19% 0.43 30.8% 0.98% 1.17%

-0.16% -0.22% 1.15% 0.53 34.1% 0.95% 1.16%

0.41% 0.57% 1.10% 0.46 31.7% 0.95% 1.15%

-0.45% -0.86% 1.07% 0.30 27.0% 0.95% 1.14%

-1.17% -0.73% 1.06% 0.40 29.8% 0.90% 1.13%

1.99% 3.17% 1.04% -3.98 0.4% 1.31% 1.12%

-0.32% -2.31% 1.41% -1.00 7.3% 1.50% 1.15%

1.13% 1.45% 1.53% -0.19 16.6% 1.52% 1.19%

0.40% -0.74% 1.52% 0.15 23.3% 1.42% 1.23%

0.14% -0.26% 1.47% 0.29 26.8% 1.41% 1.25%

-0.12% -0.26% 1.40% 0.34 28.1% 1.41% 1.27%

1.00% 1.12% 1.33% 0.05 21.0% 1.45% 1.29%

0.11% -0.89% 1.32% 0.19 24.1% 1.47% 1.31%

0.47% 0.36% 1.29% 0.40 29.8% 1.44% 1.34%

0.39% -0.08% 1.23% 0.48 32.3% 1.42% 1.35%

Page 49: GARCH Example

0.86% 0.48% 1.18% 0.44 31.2% 1.02% 1.37%

-0.33% -1.19% 1.14% 0.01 20.2% 0.81% 1.34%

0.92% 1.25% 1.15% -0.04 19.2% 0.78% 1.30%

-0.34% -1.26% 1.17% -0.05 19.1% 0.84% 1.27%

-0.10% 0.23% 1.18% 0.50 33.0% 0.84% 1.24%

-0.49% -0.38% 1.13% 0.51 33.2% 0.85% 1.21%

-0.17% 0.32% 1.09% 0.56 35.0% 0.77% 1.19%

0.75% 0.91% 1.05% 0.26 26.0% 0.78% 1.16%

0.58% -0.16% 1.05% 0.63 37.6% 0.77% 1.14%

1.07% 0.49% 1.01% 0.57 35.2% 0.78% 1.12%

0.24% -0.83% 0.98% 0.35 28.4% 0.81% 1.10%

-0.12% -0.36% 0.98% 0.65 38.2% 0.73% 1.08%

-1.05% -0.94% 0.95% 0.26 25.8% 0.66% 1.06%

-0.71% 0.34% 0.96% 0.67 39.1% 0.57% 1.04%

0.82% 1.53% 0.93% -0.60 11.0% 0.74% 1.01%

-0.09% -0.91% 1.01% 0.28 26.4% 0.79% 1.00%

0.55% 0.63% 1.01% 0.48 32.3% 0.80% 0.99%

0.32% -0.23% 0.99% 0.67 39.1% 0.75% 0.99%

-1.00% -1.32% 0.96% -0.21 16.2% 0.85% 0.98%

1.31% 2.31% 1.01% -1.93 2.9% 1.12% 0.98%

0.08% -1.23% 1.21% -0.02 19.7% 1.15% 1.00%

0.27% 0.19% 1.22% 0.48 32.3% 1.15% 1.02%

0.34% 0.07% 1.17% 0.53 34.1% 1.10% 1.05%

-0.97% -1.31% 1.12% -0.11 17.9% 1.18% 1.06%

-1.04% -0.07% 1.14% 0.55 34.8% 1.06% 1.08%

-1.93% -0.88% 1.10% 0.27 26.3% 1.06% 1.09%

-0.13% 1.80% 1.09% -0.76 9.3% 1.20% 1.10%

0.88% 1.01% 1.18% 0.16 23.5% 1.24% 1.12%

1.56% 0.69% 1.17% 0.36 28.6% 1.16% 1.14%

0.83% -0.73% 1.14% 0.35 28.4% 0.96% 1.15%

0.10% -0.74% 1.12% 0.36 28.7% 0.91% 1.14%

-0.59% -0.68% 1.09% 0.41 30.0% 0.93% 1.13%

-0.95% -0.36% 1.07% 0.57 35.2% 0.93% 1.12%

-0.89% 0.06% 1.03% 0.66 38.6% 0.85% 1.11%

1.19% 2.07% 0.99% -1.49 4.5% 1.05% 1.10%

-0.14% -1.32% 1.15% -0.11 17.9% 1.10% 1.10%

0.83% 0.96% 1.18% 0.19 24.3% 1.00% 1.11%

0.28% -0.55% 1.17% 0.42 30.6% 0.97% 1.11%

-0.13% -0.41% 1.13% 0.50 33.1% 0.94% 1.11%

-0.77% -0.64% 1.09% 0.43 30.8% 0.93% 1.10%

-0.26% 0.51% 1.06% 0.52 33.5% 0.93% 1.10%

0.33% 0.60% 1.03% 0.49 32.7% 0.92% 1.09%

0.86% 0.53% 1.01% 0.55 34.6% 0.92% 1.08%

-0.39% -1.25% 0.98% -0.11 17.9% 1.01% 1.08%

-0.37% 0.02% 1.02% 0.67 39.1% 0.76% 1.08%

-1.48% -1.11% 0.98% 0.07 21.5% 0.73% 1.06%

-0.16% 1.32% 1.00% -0.17 16.8% 0.79% 1.05%

0.49% 0.66% 1.05% 0.45 31.3% 0.80% 1.03%

-0.62% -1.11% 1.03% 0.08 21.7% 0.86% 1.02%

0.01% 0.63% 1.05% 0.46 31.8% 0.86% 1.02%

0.21% 0.19% 1.02% 0.65 38.3% 0.85% 1.02%

Page 50: GARCH Example

-0.96% -1.16% 0.98% 0.01 20.1% 0.90% 1.01%

1.12% 2.08% 1.01% -1.42 4.8% 1.11% 1.01%

1.74% 0.62% 1.17% 0.39 29.6% 1.03% 1.03%

0.17% -1.57% 1.14% -0.39 13.5% 1.16% 1.04%

0.24% 0.07% 1.19% 0.51 33.3% 1.10% 1.06%

-0.55% -0.79% 1.14% 0.32 27.5% 1.06% 1.08%

-1.59% -1.04% 1.12% 0.14 23.1% 1.07% 1.09%

0.39% 1.98% 1.12% -0.98 7.5% 1.20% 1.09%

-1.99% -2.38% 1.24% -1.36 5.1% 1.39% 1.11%

0.98% 2.97% 1.40% -1.90 3.0% 1.69% 1.15%

1.79% 0.81% 1.63% 0.08 21.7% 1.65% 1.22%

-0.07% -1.86% 1.57% -0.46 12.6% 1.64% 1.27%

-0.52% -0.45% 1.60% 0.18 24.0% 1.62% 1.31%

0.23% 0.75% 1.53% 0.15 23.2% 1.58% 1.35%

1.48% 1.24% 1.47% -0.05 19.0% 1.62% 1.38%

1.20% -0.28% 1.45% 0.30 26.9% 1.60% 1.41%

-0.32% -1.51% 1.39% -0.23 15.9% 1.64% 1.44%

0.35% 0.66% 1.40% 0.24 25.4% 1.54% 1.47%

0.47% 0.12% 1.35% 0.38 29.4% 1.32% 1.48%

-0.41% -0.88% 1.29% 0.21 24.6% 0.99% 1.47%

1.30% 1.71% 1.26% -0.46 12.7% 1.11% 1.43%

-0.19% -1.48% 1.32% -0.22 16.0% 1.05% 1.41%

0.95% 1.14% 1.34% 0.04 20.8% 1.09% 1.38%

-0.23% -1.18% 1.33% 0.01 20.2% 1.14% 1.36%

1.02% 1.25% 1.32% -0.03 19.4% 1.14% 1.34%

-0.67% -1.69% 1.32% -0.40 13.3% 1.24% 1.33%

0.50% 1.17% 1.36% 0.01 20.3% 1.21% 1.33%

0.07% -0.42% 1.35% 0.34 28.2% 1.21% 1.32%

1.06% 0.99% 1.29% 0.14 23.0% 1.24% 1.32%

-0.24% -1.30% 1.27% -0.07 18.6% 1.28% 1.32%

0.78% 1.02% 1.28% 0.13 22.7% 1.20% 1.32%

0.23% -0.55% 1.26% 0.36 28.8% 1.12% 1.31%

-0.22% -0.46% 1.22% 0.42 30.6% 1.07% 1.30%

-1.61% -1.38% 1.17% -0.17 16.9% 1.09% 1.28%

-0.08% 1.52% 1.20% -0.30 14.9% 1.13% 1.27%

-2.09% -2.01% 1.24% -0.83 8.7% 1.17% 1.26%

0.09% 2.18% 1.34% -0.92 7.9% 1.32% 1.26%

0.57% 0.48% 1.45% 0.26 26.0% 1.32% 1.27%

-1.48% -2.05% 1.39% -0.73 9.7% 1.42% 1.28%

-0.45% 1.04% 1.47% 0.05 21.1% 1.42% 1.30%

1.58% 2.02% 1.44% -0.66 10.3% 1.52% 1.32%

-1.95% -3.53% 1.51% -2.45 1.7% 1.86% 1.34%

-0.73% 1.21% 1.81% -0.13 17.6% 1.91% 1.40%

-3.62% -2.89% 1.76% -1.22 5.9% 2.06% 1.46%

0.87% 4.49% 1.90% -2.74 1.3% 2.46% 1.53%

0.76% -0.11% 2.29% -0.14 17.4% 2.37% 1.64%

-0.02% -0.77% 2.17% -0.15 17.3% 2.29% 1.72%

-0.58% -0.56% 2.07% -0.07 18.6% 2.29% 1.78%

-1.31% -0.73% 1.97% -0.06 18.9% 2.22% 1.84%

1.43% 2.73% 1.88% -1.00 7.4% 2.35% 1.88%

-0.86% -2.28% 1.98% -0.66 10.4% 2.37% 1.94%

Page 51: GARCH Example

-1.13% -0.27% 2.01% -0.02 19.7% 2.10% 1.99%

1.97% 3.10% 1.91% -1.28 5.6% 2.27% 1.99%

1.62% -0.35% 2.05% -0.04 19.1% 2.03% 2.02%

-0.29% -1.90% 1.95% -0.45 12.7% 1.66% 2.03%

-0.59% -0.30% 1.94% 0.01 20.3% 1.66% 1.99%

-0.95% -0.36% 1.85% 0.06 21.2% 1.65% 1.96%

0.64% 1.59% 1.76% -0.28 15.1% 1.71% 1.93%

0.43% -0.21% 1.74% 0.13 22.8% 1.69% 1.91%

-0.79% -1.23% 1.65% -0.09 18.3% 1.50% 1.88%

-3.84% -3.04% 1.62% -1.56 4.2% 1.62% 1.85%

-1.48% 2.36% 1.81% -0.75 9.5% 1.80% 1.83%

-6.80% -5.32% 1.87% -3.98 0.4% 2.08% 1.82%

3.86% 10.66% 2.44% -9.78 0.0% 4.05% 1.86%

-0.38% -4.24% 4.06% -1.26 5.7% 4.23% 2.07%

-0.83% -0.45% 4.07% -0.72 9.8% 4.23% 2.29%

-0.85% -0.02% 3.84% -0.66 10.4% 4.23% 2.49%

5.09% 5.94% 3.63% -1.94 2.9% 4.58% 2.67%

-1.69% -6.78% 3.91% -2.18 2.3% 5.07% 2.89%

-2.58% -0.90% 4.26% -0.78 9.2% 5.07% 3.15%

2.95% 5.53% 4.04% -1.64 3.9% 5.23% 3.39%

2.05% -0.90% 4.19% -0.77 9.3% 5.22% 3.63%

0.77% -1.27% 3.97% -0.74 9.5% 4.91% 3.84%

0.75% -0.02% 3.77% -0.64 10.6% 3.64% 3.97%

-2.55% -3.30% 3.57% -1.01 7.3% 3.54% 3.92%

0.12% 2.66% 3.53% -0.86 8.5% 3.65% 3.87%

0.37% 0.25% 3.44% -0.55 11.6% 3.65% 3.83%

0.56% 0.19% 3.25% -0.49 12.3% 3.09% 3.79%

3.54% 2.98% 3.07% -0.90 8.1% 2.41% 3.71%

-2.19% -5.73% 3.05% -2.19 2.2% 3.05% 3.59%

0.19% 2.39% 3.40% -0.78 9.2% 2.59% 3.52%

0.38% 0.18% 3.30% -0.51 12.1% 2.59% 3.43%

0.03% -0.35% 3.12% -0.45 12.7% 2.56% 3.35%

-3.05% -3.08% 2.95% -0.94 7.8% 2.72% 3.27%

-3.01% 0.04% 2.96% -0.39 13.5% 2.54% 3.21%

1.64% 4.65% 2.80% -1.72 3.6% 2.80% 3.13%

-1.40% -3.04% 3.02% -0.92 7.9% 2.96% 3.09%

-0.40% 1.00% 3.01% -0.47 12.5% 2.98% 3.07%

-1.41% -1.01% 2.87% -0.43 13.1% 2.81% 3.05%

-1.16% 0.25% 2.73% -0.32 14.5% 2.20% 3.02%

2.60% 3.76% 2.59% -1.32 5.4% 2.37% 2.94%

1.35% -1.25% 2.72% -0.41 13.2% 2.41% 2.88%

-0.29% -1.64% 2.60% -0.47 12.6% 2.47% 2.83%

1.08% 1.37% 2.51% -0.38 13.7% 2.27% 2.78%

4.17% 3.09% 2.42% -1.01 7.3% 2.40% 2.73%

0.85% -3.32% 2.49% -1.11 6.6% 2.28% 2.70%

0.57% -0.29% 2.58% -0.26 15.4% 2.07% 2.65%

0.14% -0.42% 2.44% -0.22 16.1% 2.05% 2.59%

0.56% 0.42% 2.31% -0.16 17.0% 2.02% 2.54%

0.80% 0.24% 2.19% -0.10 18.1% 2.02% 2.48%

-0.72% -1.52% 2.08% -0.31 14.7% 1.69% 2.43%

0.15% 0.88% 2.03% -0.11 17.9% 1.69% 2.37%

Page 52: GARCH Example

-0.65% -0.81% 1.94% -0.06 18.8% 1.63% 2.30%

0.26% 0.91% 1.86% -0.05 19.0% 1.60% 2.23%

1.67% 1.41% 1.79% -0.20 16.3% 1.32% 2.17%

1.17% -0.50% 1.75% 0.09 21.9% 0.85% 2.10%

1.18% 0.00% 1.67% 0.18 23.9% 0.85% 2.01%

-0.07% -1.25% 1.59% -0.08 18.5% 0.93% 1.92%

0.70% 0.77% 1.56% 0.12 22.6% 0.95% 1.85%

1.36% 0.65% 1.50% 0.19 24.2% 0.97% 1.78%

0.63% -0.73% 1.44% 0.20 24.3% 0.86% 1.71%

-0.95% -1.58% 1.39% -0.28 15.1% 0.96% 1.65%

-0.17% 0.78% 1.42% 0.19 24.2% 0.96% 1.60%

-0.65% -0.47% 1.37% 0.31 27.4% 0.93% 1.55%

-0.29% 0.35% 1.31% 0.38 29.3% 0.80% 1.50%

0.72% 1.01% 1.26% 0.14 23.0% 0.87% 1.45%

0.90% 0.18% 1.24% 0.46 31.8% 0.87% 1.41%

0.30% -0.60% 1.19% 0.39 29.6% 0.80% 1.37%

0.45% 0.15% 1.15% 0.54 34.4% 0.76% 1.33%

0.71% 0.26% 1.10% 0.57 35.2% 0.74% 1.29%

0.95% 0.24% 1.06% 0.61 36.7% 0.71% 1.25%

2.12% 1.17% 1.02% 0.01 20.2% 0.54% 1.21%

-0.44% -2.56% 1.04% -2.36 1.9% 0.99% 1.17%

0.33% 0.77% 1.28% 0.26 26.0% 1.00% 1.17%

0.46% 0.13% 1.25% 0.46 31.8% 1.00% 1.16%

-2.41% -2.87% 1.19% -2.38 1.9% 1.28% 1.15%

1.00% 3.41% 1.45% -2.44 1.7% 1.70% 1.17%

-0.34% -1.34% 1.75% -0.16 17.0% 1.74% 1.23%

-1.80% -1.46% 1.71% -0.21 16.2% 1.79% 1.29%

2.31% 4.12% 1.69% -2.80 1.2% 2.21% 1.34%

0.93% -1.38% 2.06% -0.26 15.5% 2.26% 1.44%

-0.53% -1.46% 2.00% -0.27 15.3% 2.26% 1.54%

0.18% 0.71% 1.95% -0.04 19.1% 2.14% 1.63%

-1.56% -1.74% 1.86% -0.37 13.8% 2.19% 1.69%

0.12% 1.68% 1.85% -0.34 14.2% 2.26% 1.75%

-2.17% -2.29% 1.83% -0.70 10.0% 2.19% 1.82%

1.90% 4.06% 1.88% -2.27 2.1% 2.30% 1.86%

-0.08% -1.97% 2.19% -0.50 12.1% 2.35% 1.90%

1.55% 1.63% 2.17% -0.37 13.9% 2.33% 1.95%

0.68% -0.87% 2.12% -0.14 17.3% 1.98% 1.99%

1.25% 0.56% 2.03% -0.05 18.9% 1.95% 1.99%

0.06% -1.19% 1.93% -0.16 17.1% 1.93% 1.98%

2.07% 2.01% 1.87% -0.52 11.9% 2.01% 1.97%

-0.18% -2.26% 1.88% -0.66 10.3% 2.06% 1.97%

-0.06% 0.12% 1.92% 0.04 20.7% 2.00% 1.98%

1.33% 1.40% 1.82% -0.20 16.3% 1.88% 1.98%

-0.80% -2.13% 1.78% -0.60 11.0% 1.55% 1.97%

-0.22% 0.58% 1.82% 0.04 20.9% 1.45% 1.93%

-0.09% 0.13% 1.74% 0.14 22.9% 1.35% 1.89%

1.36% 1.45% 1.65% -0.20 16.4% 1.41% 1.84%

2.21% 0.86% 1.63% 0.06 21.3% 1.42% 1.80%

-0.21% -2.42% 1.57% -0.95 7.8% 1.57% 1.77%

0.42% 0.63% 1.68% 0.10 22.2% 1.44% 1.75%

Page 53: GARCH Example

-0.88% -1.30% 1.61% -0.11 17.9% 1.33% 1.72%

-1.93% -1.05% 1.58% 0.01 20.3% 1.35% 1.69%

-0.41% 1.52% 1.54% -0.23 16.0% 1.37% 1.66%

-1.80% -1.39% 1.54% -0.15 17.3% 1.28% 1.63%

2.56% 4.36% 1.53% -3.82 0.4% 1.85% 1.61%

0.70% -1.86% 1.99% -0.43 12.9% 1.96% 1.63%

0.37% -0.33% 1.98% -0.01 19.9% 1.91% 1.66%

-1.71% -2.08% 1.88% -0.55 11.5% 1.97% 1.69%

-0.81% 0.90% 1.90% -0.06 18.8% 1.87% 1.72%

0.72% 1.52% 1.82% -0.26 15.4% 1.93% 1.74%

1.49% 0.77% 1.80% 0.01 20.3% 1.88% 1.76%

-0.73% -2.22% 1.72% -0.68 10.1% 1.99% 1.77%

1.79% 2.52% 1.78% -0.89 8.2% 2.08% 1.79%

1.13% -0.66% 1.86% 0.01 20.1% 2.04% 1.83%

-0.52% -1.65% 1.78% -0.31 14.6% 1.58% 1.85%

-0.86% -0.35% 1.77% 0.10 22.2% 1.50% 1.83%

0.80% 1.66% 1.68% -0.32 14.5% 1.59% 1.80%

-1.85% -2.65% 1.68% -1.08 6.8% 1.67% 1.78%

-0.73% 1.13% 1.80% -0.09 18.2% 1.69% 1.77%

0.35% 1.08% 1.74% -0.06 18.9% 1.65% 1.76%

-2.22% -2.57% 1.69% -0.99 7.4% 1.79% 1.75%

0.61% 2.83% 1.80% -1.14 6.4% 1.90% 1.76%

2.49% 1.88% 1.92% -0.44 12.8% 1.83% 1.77%

-1.91% -4.40% 1.92% -2.59 1.5% 2.27% 1.78%

0.95% 2.86% 2.28% -0.92 8.0% 2.41% 1.83%

-1.44% -2.39% 2.34% -0.68 10.1% 2.52% 1.88%

1.08% 2.52% 2.34% -0.74 9.6% 2.59% 1.95%

0.16% -0.93% 2.35% -0.24 15.7% 2.46% 2.02%

2.66% 2.50% 2.25% -0.74 9.6% 2.55% 2.06%

-0.08% -2.73% 2.27% -0.85 8.5% 2.69% 2.12%

-1.40% -1.32% 2.31% -0.31 14.6% 2.60% 2.18%

-0.67% 0.73% 2.23% -0.16 17.0% 2.45% 2.22%

-0.54% 0.13% 2.13% -0.07 18.7% 2.36% 2.24%

-0.18% 0.36% 2.01% -0.03 19.5% 1.92% 2.25%

-0.86% -0.69% 1.91% -0.02 19.6% 1.71% 2.21%

0.18% 1.04% 1.83% -0.07 18.6% 1.57% 2.16%

1.54% 1.36% 1.76% -0.18 16.8% 1.43% 2.11%

2.31% 0.77% 1.73% 0.04 20.9% 1.40% 2.04%

0.57% -1.74% 1.66% -0.37 13.8% 1.28% 1.98%

-0.23% -0.79% 1.67% 0.07 21.3% 1.01% 1.92%

0.55% 0.77% 1.60% 0.10 22.1% 0.93% 1.85%

0.84% 0.30% 1.54% 0.24 25.4% 0.91% 1.79%

-0.24% -1.08% 1.47% 0.03 20.7% 0.98% 1.72%

0.98% 1.22% 1.44% -0.03 19.4% 1.04% 1.66%

-0.07% -1.05% 1.42% 0.07 21.4% 1.08% 1.61%

-0.66% -0.59% 1.40% 0.27 26.2% 1.04% 1.57%

1.44% 2.10% 1.34% -0.83 8.8% 1.16% 1.53%

-1.31% -2.75% 1.44% -1.51 4.4% 1.38% 1.50%

-0.18% 1.14% 1.62% -0.04 19.3% 1.36% 1.49%

-2.69% -2.51% 1.58% -1.03 7.1% 1.54% 1.49%

0.51% 3.20% 1.70% -1.62 4.0% 1.84% 1.50%

Page 54: GARCH Example

1.69% 1.18% 1.90% -0.14 17.3% 1.88% 1.53%

-0.56% -2.24% 1.84% -0.66 10.3% 1.98% 1.57%

2.13% 2.69% 1.88% -0.96 7.6% 2.12% 1.61%

-0.72% -2.85% 1.97% -1.03 7.1% 2.28% 1.67%

-1.11% -0.39% 2.08% -0.06 18.9% 2.28% 1.73%

0.57% 1.68% 1.97% -0.35 14.1% 2.24% 1.80%

2.12% 1.55% 1.94% -0.29 15.0% 2.09% 1.85%

-0.24% -2.36% 1.90% -0.72 9.7% 2.22% 1.88%

0.68% 0.93% 1.95% -0.09 18.3% 2.07% 1.91%

1.29% 0.61% 1.87% 0.01 20.2% 1.84% 1.93%

0.33% -0.96% 1.79% -0.04 19.3% 1.83% 1.92%

0.76% 0.44% 1.72% 0.11 22.4% 1.69% 1.91%

-0.65% -1.41% 1.64% -0.17 16.8% 1.50% 1.88%

-1.58% -0.94% 1.62% 0.04 20.8% 1.27% 1.85%

-0.42% 1.16% 1.57% -0.03 19.3% 1.32% 1.80%

-0.29% 0.13% 1.54% 0.26 25.9% 1.20% 1.76%

-2.24% -1.95% 1.46% -0.58 11.2% 1.19% 1.71%

1.29% 3.53% 1.52% -2.43 1.8% 1.50% 1.67%

2.29% 1.00% 1.82% -0.06 18.8% 1.51% 1.66%

1.70% -0.59% 1.76% 0.07 21.4% 1.52% 1.64%

-0.14% -1.84% 1.68% -0.43 13.0% 1.59% 1.63%

0.24% 0.38% 1.70% 0.14 22.9% 1.59% 1.63%

0.20% -0.03% 1.62% 0.21 24.7% 1.53% 1.63%

-0.87% -1.08% 1.54% 0.02 20.3% 1.54% 1.62%

-0.60% 0.27% 1.50% 0.27 26.2% 1.50% 1.61%

-0.57% 0.03% 1.43% 0.33 27.9% 1.50% 1.60%

1.46% 2.03% 1.36% -0.73 9.7% 1.46% 1.59%

-1.67% -3.13% 1.44% -2.02 2.6% 1.38% 1.58%

1.15% 2.82% 1.69% -1.23 5.9% 1.64% 1.57%

-1.13% -2.28% 1.83% -0.69 10.0% 1.76% 1.58%

0.97% 2.10% 1.88% -0.57 11.3% 1.81% 1.60%

-0.35% -1.32% 1.90% -0.19 16.5% 1.86% 1.62%

1.14% 1.49% 1.85% -0.25 15.6% 1.91% 1.64%

0.62% -0.52% 1.82% 0.05 21.1% 1.89% 1.67%

0.26% -0.36% 1.73% 0.12 22.5% 1.89% 1.69%

-2.18% -2.44% 1.65% -0.90 8.1% 2.04% 1.72%

0.13% 2.30% 1.74% -0.74 9.6% 2.07% 1.75%

-0.46% -0.59% 1.81% 0.05 20.9% 1.83% 1.79%

0.82% 1.28% 1.72% -0.13 17.6% 1.65% 1.79%

-0.40% -1.22% 1.69% -0.09 18.2% 1.53% 1.78%

-0.64% -0.24% 1.65% 0.18 24.0% 1.37% 1.76%

-1.78% -1.14% 1.57% -0.02 19.6% 1.36% 1.72%

-1.70% 0.07% 1.53% 0.26 26.0% 1.25% 1.69%

1.59% 3.29% 1.46% -2.23 2.1% 1.64% 1.65%

-1.79% -3.37% 1.73% -1.76 3.4% 1.95% 1.65%

1.59% 3.38% 1.95% -1.48 4.6% 2.06% 1.68%

-0.58% -2.18% 2.14% -0.59 11.1% 2.08% 1.72%

0.04% 0.62% 2.14% -0.11 17.9% 2.08% 1.76%

0.37% 0.32% 2.03% -0.03 19.4% 2.04% 1.79%

2.17% 1.81% 1.93% -0.40 13.3% 2.07% 1.81%

0.51% -1.66% 1.92% -0.34 14.3% 2.15% 1.84%

Page 55: GARCH Example

-1.29% -1.80% 1.89% -0.40 13.4% 2.19% 1.87%

0.10% 1.39% 1.88% -0.21 16.2% 2.23% 1.91%

-1.20% -1.30% 1.84% -0.17 16.9% 2.00% 1.94%

-0.70% 0.50% 1.79% 0.07 21.5% 1.72% 1.95%

0.03% 0.73% 1.71% 0.06 21.3% 1.37% 1.93%

0.55% 0.53% 1.64% 0.15 23.2% 1.20% 1.88%

2.25% 1.69% 1.56% -0.34 14.2% 1.28% 1.82%

0.71% -1.53% 1.58% -0.24 15.8% 1.38% 1.77%

0.22% -0.49% 1.58% 0.19 24.1% 1.26% 1.74%

0.46% 0.24% 1.51% 0.27 26.1% 1.16% 1.70%

-0.97% -1.43% 1.44% -0.17 16.9% 1.11% 1.65%

-0.21% 0.76% 1.44% 0.19 24.1% 1.04% 1.61%

-1.30% -1.09% 1.39% 0.06 21.2% 1.02% 1.56%

-0.04% 1.26% 1.37% -0.05 19.1% 1.08% 1.52%

1.22% 1.26% 1.36% -0.04 19.2% 1.12% 1.49%

1.51% 0.29% 1.36% 0.36 28.8% 1.12% 1.46%

1.57% 0.06% 1.30% 0.43 30.8% 0.98% 1.43%

0.60% -0.97% 1.24% 0.17 23.7% 0.91% 1.40%

0.74% 0.14% 1.22% 0.49 32.5% 0.90% 1.36%

-0.22% -0.97% 1.17% 0.19 24.3% 0.94% 1.33%

0.56% 0.78% 1.15% 0.32 27.5% 0.85% 1.30%

-0.10% -0.66% 1.13% 0.40 29.7% 0.86% 1.27%

0.64% 0.74% 1.10% 0.37 28.9% 0.80% 1.24%

-0.30% -0.93% 1.08% 0.24 25.4% 0.78% 1.21%

-0.40% -0.10% 1.08% 0.61 36.9% 0.65% 1.18%

0.33% 0.73% 1.03% 0.41 30.2% 0.69% 1.15%

0.82% 0.49% 1.02% 0.56 35.0% 0.71% 1.12%

0.65% -0.17% 0.99% 0.69 39.8% 0.65% 1.10%

-0.78% -1.43% 0.95% -0.40 13.4% 0.78% 1.07%

-2.17% -1.39% 1.02% -0.25 15.5% 0.83% 1.06%

0.16% 2.33% 1.07% -1.74 3.5% 1.10% 1.05%

-1.33% -1.49% 1.26% -0.24 15.8% 1.17% 1.06%

-0.30% 1.03% 1.29% 0.12 22.5% 1.19% 1.08%

-0.68% -0.38% 1.27% 0.40 30.0% 1.17% 1.10%

1.12% 1.80% 1.22% -0.59 11.1% 1.29% 1.11%

0.19% -0.93% 1.29% 0.17 23.8% 1.31% 1.14%

-1.78% -1.97% 1.27% -0.76 9.4% 1.42% 1.16%

-0.92% 0.87% 1.36% 0.18 23.9% 1.46% 1.20%

-0.05% 0.87% 1.32% 0.19 24.3% 1.42% 1.24%

-0.44% -0.39% 1.29% 0.39 29.5% 1.35% 1.27%

-1.27% -0.83% 1.24% 0.25 25.7% 1.16% 1.28%

0.64% 1.92% 1.21% -0.75 9.4% 1.22% 1.28%

-1.02% -1.66% 1.30% -0.39 13.6% 1.30% 1.28%

-0.19% 0.83% 1.35% 0.20 24.5% 1.32% 1.29%

-1.26% -1.07% 1.31% 0.09 21.8% 1.22% 1.30%

1.60% 2.86% 1.30% -2.01 2.7% 1.50% 1.30%

-0.29% -1.89% 1.53% -0.50 12.2% 1.49% 1.32%

2.27% 2.56% 1.57% -1.09 6.7% 1.65% 1.34%

0.23% -2.04% 1.70% -0.56 11.4% 1.78% 1.38%

1.01% 0.77% 1.73% 0.04 20.8% 1.78% 1.42%

-0.84% -1.85% 1.66% -0.44 12.9% 1.86% 1.47%

Page 56: GARCH Example

-0.69% 0.15% 1.68% 0.17 23.6% 1.76% 1.51%

0.98% 1.68% 1.60% -0.33 14.4% 1.75% 1.54%

1.77% 0.78% 1.61% 0.10 22.0% 1.75% 1.57%

0.24% -1.53% 1.55% -0.23 15.9% 1.79% 1.59%

1.34% 1.10% 1.55% 0.00 20.0% 1.59% 1.62%

-1.43% -2.77% 1.51% -1.40 4.9% 1.71% 1.62%

-1.01% 0.42% 1.68% 0.14 23.0% 1.48% 1.63%

-1.80% -0.79% 1.60% 0.10 22.0% 1.38% 1.62%

-0.27% 1.53% 1.54% -0.23 15.9% 1.45% 1.60%

0.81% 1.08% 1.54% 0.01 20.2% 1.37% 1.59%

-0.90% -1.71% 1.51% -0.36 13.9% 1.48% 1.57%

2.89% 3.79% 1.53% -2.80 1.2% 1.82% 1.56%

-0.50% -3.39% 1.88% -1.57 4.2% 2.09% 1.59%

-0.47% 0.03% 2.08% -0.04 19.2% 2.05% 1.64%

0.26% 0.73% 1.97% -0.05 18.9% 2.03% 1.68%

0.30% 0.04% 1.88% 0.06 21.2% 1.82% 1.72%

-0.56% -0.85% 1.78% 0.00 19.9% 1.85% 1.73%

-0.58% -0.03% 1.71% 0.15 23.3% 1.83% 1.74%

-1.37% -0.79% 1.63% 0.09 21.8% 1.78% 1.75%

0.04% 1.41% 1.57% -0.16 17.0% 1.80% 1.75%

1.28% 1.25% 1.55% -0.07 18.6% 1.76% 1.76%

0.01% -1.28% 1.53% -0.08 18.4% 1.33% 1.76%

-2.09% -2.10% 1.51% -0.69 10.0% 1.06% 1.72%

0.22% 2.32% 1.58% -0.84 8.6% 1.30% 1.67%

-2.30% -2.52% 1.67% -0.96 7.6% 1.48% 1.64%

-0.24% 2.06% 1.77% -0.56 11.5% 1.64% 1.63%

0.47% 0.70% 1.80% 0.03 20.5% 1.63% 1.63%

-0.09% -0.55% 1.72% 0.09 22.0% 1.64% 1.63%

-1.08% -0.99% 1.65% 0.01 20.2% 1.65% 1.63%

1.13% 2.21% 1.59% -0.74 9.6% 1.74% 1.64%

0.01% -1.12% 1.67% -0.05 19.1% 1.73% 1.65%

1.70% 1.69% 1.62% -0.34 14.3% 1.76% 1.66%

-0.25% -1.95% 1.63% -0.51 12.0% 1.74% 1.67%

1.85% 2.10% 1.67% -0.61 10.8% 1.71% 1.68%

-0.59% -2.43% 1.71% -0.86 8.5% 1.70% 1.68%

1.39% 1.98% 1.80% -0.50 12.1% 1.69% 1.69%

-0.06% -1.46% 1.82% -0.23 15.9% 1.74% 1.69%

-1.66% -1.60% 1.78% -0.29 15.0% 1.80% 1.69%

-2.09% -0.43% 1.77% 0.09 21.9% 1.78% 1.71%

-0.17% 1.93% 1.68% -0.49 12.3% 1.75% 1.71%

-2.81% -2.64% 1.71% -1.04 7.1% 1.89% 1.72%

0.54% 3.34% 1.82% -1.60 4.1% 2.11% 1.74%

0.57% 0.03% 2.02% -0.01 19.7% 2.02% 1.78%

2.23% 1.66% 1.92% -0.33 14.3% 1.98% 1.80%

-0.45% -2.68% 1.89% -0.95 7.7% 2.01% 1.82%

1.41% 1.86% 1.98% -0.43 13.0% 2.00% 1.84%

-0.62% -2.02% 1.97% -0.51 12.0% 2.05% 1.85%

-0.91% -0.29% 1.97% 0.00 20.0% 1.99% 1.87%

1.15% 2.06% 1.87% -0.54 11.6% 2.06% 1.88%

3.53% 2.37% 1.89% -0.73 9.6% 2.10% 1.90%

1.53% -2.00% 1.94% -0.50 12.1% 2.02% 1.93%

Page 57: GARCH Example

-0.65% -2.17% 1.94% -0.60 11.0% 1.90% 1.94%

-0.47% 0.18% 1.97% 0.01 20.2% 1.90% 1.93%

0.53% 1.00% 1.87% -0.08 18.5% 1.85% 1.93%

0.57% 0.04% 1.80% 0.10 22.2% 1.65% 1.92%

0.56% -0.01% 1.71% 0.16 23.4% 1.54% 1.89%

0.49% -0.06% 1.62% 0.21 24.6% 1.40% 1.86%

-0.85% -1.35% 1.54% -0.12 17.7% 1.46% 1.81%

0.60% 1.45% 1.52% -0.18 16.6% 1.39% 1.78%

0.58% -0.02% 1.52% 0.27 26.3% 1.13% 1.74%

1.06% 0.47% 1.45% 0.27 26.2% 0.99% 1.69%

-0.12% -1.18% 1.38% 0.00 20.1% 0.81% 1.64%

1.84% 1.96% 1.37% -0.65 10.4% 0.99% 1.58%

-0.66% -2.50% 1.44% -1.18 6.2% 1.24% 1.53%

1.01% 1.67% 1.58% -0.32 14.5% 1.36% 1.51%

-0.21% -1.22% 1.59% -0.07 18.7% 1.41% 1.50%

-0.07% 0.13% 1.56% 0.24 25.5% 1.41% 1.50%

-1.15% -1.07% 1.48% 0.03 20.7% 1.39% 1.49%

0.89% 2.03% 1.45% -0.66 10.3% 1.46% 1.48%

-0.03% -0.92% 1.52% 0.09 21.8% 1.49% 1.48%

-0.62% -0.59% 1.48% 0.22 25.0% 1.48% 1.49%

-1.34% -0.72% 1.42% 0.21 24.7% 1.46% 1.49%

0.63% 1.98% 1.37% -0.67 10.3% 1.46% 1.49%

0.81% 0.18% 1.44% 0.32 27.4% 1.22% 1.49%

1.72% 0.91% 1.38% 0.15 23.3% 1.15% 1.47%

-0.70% -2.42% 1.34% -1.23 5.9% 1.33% 1.44%

-0.99% -0.30% 1.49% 0.27 26.3% 1.33% 1.44%

-0.38% 0.62% 1.42% 0.25 25.6% 1.30% 1.43%

0.30% 0.68% 1.36% 0.26 25.9% 1.15% 1.42%

0.63% 0.33% 1.32% 0.38 29.3% 1.12% 1.40%

-0.13% -0.76% 1.26% 0.28 26.4% 1.13% 1.38%

-0.85% -0.72% 1.23% 0.31 27.3% 1.13% 1.36%

0.72% 1.58% 1.19% -0.36 14.0% 1.06% 1.34%

0.39% -0.34% 1.24% 0.44 30.9% 1.07% 1.32%

0.16% -0.23% 1.19% 0.50 32.9% 1.02% 1.30%

-0.21% -0.37% 1.14% 0.51 33.2% 0.70% 1.28%

1.08% 1.29% 1.10% -0.09 18.2% 0.78% 1.25%

0.19% -0.89% 1.13% 0.26 25.9% 0.83% 1.22%

1.55% 1.36% 1.11% -0.16 17.0% 0.90% 1.19%

-0.09% -1.63% 1.15% -0.46 12.7% 1.04% 1.17%

0.04% 0.12% 1.21% 0.49 32.7% 1.01% 1.17%

0.40% 0.36% 1.16% 0.50 32.8% 0.99% 1.16%

0.07% -0.33% 1.11% 0.54 34.3% 0.86% 1.15%

0.33% 0.26% 1.07% 0.59 36.2% 0.86% 1.14%

-0.95% -1.28% 1.03% -0.11 17.9% 0.95% 1.12%

-3.83% -2.88% 1.07% -3.01 1.0% 1.26% 1.11%

0.19% 4.03% 1.37% -3.97 0.4% 1.78% 1.14%

0.10% -0.10% 1.81% 0.09 22.0% 1.76% 1.21%

2.71% 2.61% 1.72% -1.01 7.3% 1.89% 1.27%

1.12% -1.59% 1.83% -0.29 14.9% 1.89% 1.34%

-1.31% -2.43% 1.81% -0.80 9.0% 2.04% 1.40%

-0.44% 0.87% 1.88% -0.05 19.1% 2.06% 1.47%

Page 58: GARCH Example

1.22% 1.66% 1.80% -0.32 14.5% 2.12% 1.54%

1.07% -0.15% 1.79% 0.11 22.3% 2.12% 1.61%

-0.68% -1.75% 1.70% -0.37 13.8% 2.15% 1.68%

0.05% 0.74% 1.70% 0.07 21.4% 1.93% 1.74%

-0.71% -0.76% 1.63% 0.09 21.9% 1.51% 1.77%

-0.29% 0.42% 1.57% 0.20 24.5% 1.52% 1.74%

-2.76% -2.47% 1.50% -1.08 6.8% 1.39% 1.72%

0.61% 3.37% 1.62% -1.95 2.8% 1.77% 1.70%

-0.42% -1.03% 1.87% -0.09 18.3% 1.62% 1.70%

-0.39% 0.03% 1.80% 0.10 22.1% 1.60% 1.70%

-2.75% -2.35% 1.71% -0.79 9.1% 1.64% 1.69%

2.52% 5.27% 1.78% -4.24 0.3% 2.37% 1.69%

1.06% -1.46% 2.37% -0.36 13.9% 2.34% 1.76%

-0.01% -1.07% 2.29% -0.25 15.6% 2.36% 1.81%

1.12% 1.14% 2.19% -0.23 15.9% 2.37% 1.87%

-0.04% -1.17% 2.11% -0.21 16.2% 2.40% 1.92%

-0.01% 0.03% 2.03% -0.02 19.6% 2.26% 1.98%

1.23% 1.24% 1.93% -0.17 16.9% 2.04% 2.01%

-2.08% -3.31% 1.87% -1.50 4.4% 2.27% 2.01%

0.36% 2.44% 2.05% -0.74 9.6% 2.40% 2.03%

-2.10% -2.46% 2.09% -0.74 9.6% 2.41% 2.07%

0.20% 2.30% 2.13% -0.65 10.5% 1.88% 2.11%

0.87% 0.67% 2.14% -0.12 17.7% 1.85% 2.08%

-1.03% -1.90% 2.04% -0.45 12.7% 1.91% 2.06%

0.04% 1.07% 2.02% -0.15 17.2% 1.90% 2.04%

-3.04% -3.08% 1.95% -1.23 5.9% 2.09% 2.03%

0.45% 3.49% 2.08% -1.44 4.7% 2.38% 2.03%

0.63% 0.18% 2.26% -0.13 17.6% 2.35% 2.06%

-0.53% -1.16% 2.14% -0.22 16.1% 2.13% 2.09%

-1.48% -0.95% 2.06% -0.14 17.4% 2.00% 2.09%

1.10% 2.58% 1.98% -0.85 8.6% 2.00% 2.08%

1.36% 0.26% 2.04% -0.03 19.4% 1.89% 2.07%

0.93% -0.43% 1.94% 0.00 20.1% 1.89% 2.05%

0.19% -0.75% 1.84% 0.00 19.9% 1.80% 2.03%

1.98% 1.80% 1.76% -0.40 13.5% 1.85% 2.01%

-1.27% -3.25% 1.77% -1.57 4.1% 1.88% 1.99%

-2.56% -1.29% 1.96% -0.20 16.4% 1.56% 1.98%

0.82% 3.38% 1.91% -1.53 4.3% 1.91% 1.94%

2.56% 1.74% 2.10% -0.40 13.5% 1.93% 1.94%

-0.47% -3.03% 2.06% -1.12 6.6% 2.16% 1.94%

-0.82% -0.35% 2.17% -0.10 18.1% 1.99% 1.96%

-1.77% -0.95% 2.06% -0.14 17.4% 2.00% 1.96%

2.43% 4.20% 1.98% -2.24 2.1% 2.41% 1.96%

4.76% 2.34% 2.29% -0.66 10.3% 2.47% 2.01%

0.41% -4.35% 2.29% -1.94 2.9% 2.81% 2.06%

-0.54% -0.95% 2.56% -0.32 14.5% 2.63% 2.14%

2.56% 3.09% 2.44% -1.00 7.3% 2.73% 2.19%

0.45% -2.10% 2.51% -0.58 11.2% 2.65% 2.25%

1.78% 1.33% 2.47% -0.36 14.0% 2.62% 2.28%

0.01% -1.77% 2.37% -0.45 12.7% 2.51% 2.31%

-0.24% -0.24% 2.31% -0.15 17.2% 2.50% 2.33%

Page 59: GARCH Example

-1.06% -0.82% 2.19% -0.16 17.0% 2.50% 2.34%

0.05% 1.11% 2.09% -0.19 16.6% 2.14% 2.35%

-1.37% -1.42% 2.01% -0.26 15.5% 1.97% 2.33%

0.72% 2.08% 1.96% -0.55 11.6% 1.68% 2.29%

0.49% -0.22% 1.97% 0.01 20.1% 1.65% 2.23%

-0.75% -1.24% 1.87% -0.16 17.1% 1.35% 2.18%

-0.49% 0.25% 1.82% 0.08 21.8% 1.22% 2.11%

0.94% 1.43% 1.73% -0.20 16.4% 1.23% 2.03%

1.00% 0.06% 1.70% 0.16 23.5% 1.09% 1.97%

-0.78% -1.78% 1.61% -0.40 13.4% 1.23% 1.90%

-0.26% 0.53% 1.63% 0.15 23.2% 1.21% 1.84%

-2.23% -1.97% 1.56% -0.55 11.5% 1.30% 1.79%

-1.82% 0.41% 1.61% 0.18 24.0% 1.25% 1.75%

-5.83% -4.01% 1.53% -3.16 0.8% 1.52% 1.70%

3.31% 9.14% 1.93% -11.22 0.0% 3.32% 1.70%

2.87% -0.44% 3.40% -0.54 11.6% 3.29% 1.85%

-0.98% -3.85% 3.22% -1.19 6.1% 3.52% 1.99%

0.50% 1.48% 3.27% -0.60 11.0% 3.52% 2.15%

-0.33% -0.82% 3.13% -0.48 12.3% 3.53% 2.29%

3.33% 3.65% 2.97% -1.15 6.3% 3.65% 2.42%

-1.11% -4.44% 3.03% -1.49 4.5% 3.93% 2.56%

0.27% 1.38% 3.19% -0.56 11.4% 3.90% 2.73%

-0.85% -1.12% 3.05% -0.49 12.2% 3.92% 2.87%

1.09% 1.94% 2.90% -0.60 11.0% 3.70% 3.01%

-1.50% -2.58% 2.81% -0.77 9.3% 2.49% 3.10%

-2.16% -0.66% 2.78% -0.36 13.9% 2.50% 3.04%

-0.39% 1.77% 2.64% -0.50 12.1% 2.30% 2.98%

1.64% 2.03% 2.56% -0.56 11.4% 2.34% 2.91%

-0.59% -2.23% 2.50% -0.62 10.7% 2.44% 2.84%

-0.84% -0.25% 2.47% -0.22 16.1% 2.10% 2.79%

-2.06% -1.22% 2.34% -0.30 14.9% 1.66% 2.73%

1.79% 3.85% 2.25% -1.58 4.1% 2.01% 2.63%

0.93% -0.86% 2.45% -0.27 15.3% 2.00% 2.57%

2.21% 1.28% 2.34% -0.31 14.7% 1.95% 2.52%

0.94% -1.27% 2.25% -0.28 15.1% 1.80% 2.46%

-1.24% -2.19% 2.17% -0.59 11.1% 1.93% 2.40%

-0.73% 0.51% 2.16% -0.11 17.9% 1.86% 2.35%

-2.11% -1.37% 2.06% -0.25 15.5% 1.76% 2.30%

-0.44% 1.66% 2.00% -0.35 14.1% 1.73% 2.25%

-1.92% -1.47% 1.96% -0.27 15.3% 1.79% 2.20%

1.83% 3.75% 1.92% -1.87 3.1% 2.08% 2.15%

-1.25% -3.09% 2.17% -1.10 6.7% 1.96% 2.15%

-0.25% 1.00% 2.27% -0.23 15.9% 1.99% 2.13%

3.22% 3.48% 2.17% -1.37 5.1% 2.24% 2.11%

-0.13% -3.35% 2.33% -1.19 6.1% 2.44% 2.12%

1.99% 2.12% 2.45% -0.58 11.2% 2.42% 2.15%

1.96% -0.02% 2.41% -0.19 16.6% 2.42% 2.17%

-0.65% -2.62% 2.28% -0.79 9.1% 2.53% 2.20%

-0.67% -0.02% 2.31% -0.15 17.3% 2.48% 2.23%

0.93% 1.59% 2.19% -0.36 14.0% 2.47% 2.25%

-0.66% -1.59% 2.13% -0.34 14.2% 2.23% 2.27%

Page 60: GARCH Example

-0.32% 0.34% 2.08% -0.06 18.9% 2.02% 2.26%

-0.75% -0.43% 1.98% -0.01 19.7% 2.00% 2.23%

1.62% 2.37% 1.88% -0.74 9.6% 1.82% 2.20%

0.07% -1.55% 1.93% -0.29 15.0% 1.57% 2.16%

0.56% 0.48% 1.89% 0.02 20.4% 1.42% 2.11%

-0.97% -1.52% 1.80% -0.26 15.5% 1.48% 2.05%

1.47% 2.44% 1.78% -0.82 8.8% 1.46% 2.00%

-0.68% -2.15% 1.85% -0.60 11.0% 1.63% 1.95%

0.22% 0.89% 1.88% -0.05 18.9% 1.57% 1.92%

-1.82% -2.04% 1.81% -0.54 11.7% 1.62% 1.89%

-0.74% 1.09% 1.83% -0.09 18.3% 1.66% 1.86%

0.96% 1.70% 1.77% -0.34 14.2% 1.73% 1.84%

-0.33% -1.29% 1.76% -0.14 17.3% 1.60% 1.83%

0.29% 0.62% 1.72% 0.08 21.7% 1.55% 1.81%

-0.85% -1.15% 1.65% -0.05 19.0% 1.58% 1.79%

0.85% 1.70% 1.61% -0.34 14.2% 1.60% 1.77%

1.03% 0.18% 1.62% 0.20 24.5% 1.41% 1.75%

-1.59% -2.61% 1.54% -1.18 6.1% 1.48% 1.72%

0.72% 2.31% 1.68% -0.77 9.2% 1.63% 1.70%

1.53% 0.80% 1.75% 0.03 20.5% 1.48% 1.69%

-0.22% -1.75% 1.68% -0.37 13.8% 1.58% 1.68%

0.36% 0.58% 1.69% 0.11 22.3% 1.50% 1.67%

0.81% 0.46% 1.61% 0.17 23.8% 1.45% 1.65%

0.20% -0.62% 1.54% 0.18 23.9% 1.45% 1.64%

0.95% 0.75% 1.48% 0.17 23.7% 1.41% 1.62%

0.03% -0.91% 1.43% 0.13 22.8% 1.35% 1.60%

-1.11% -1.14% 1.39% 0.02 20.5% 1.38% 1.58%

-0.79% 0.32% 1.37% 0.35 28.4% 1.13% 1.56%

0.92% 1.71% 1.31% -0.43 13.0% 1.02% 1.52%

-1.03% -1.95% 1.36% -0.64 10.5% 1.13% 1.48%

-1.07% -0.05% 1.43% 0.33 27.9% 1.02% 1.46%

0.70% 1.77% 1.36% -0.46 12.6% 1.15% 1.43%

-1.50% -2.19% 1.41% -0.86 8.5% 1.31% 1.41%

-0.19% 1.30% 1.51% -0.09 18.2% 1.38% 1.40%

-2.05% -1.86% 1.49% -0.48 12.3% 1.45% 1.41%

0.77% 2.82% 1.54% -1.43 4.8% 1.71% 1.42%

0.51% -0.26% 1.71% 0.14 23.1% 1.66% 1.45%

0.04% -0.47% 1.62% 0.16 23.6% 1.67% 1.47%

0.96% 0.92% 1.55% 0.08 21.6% 1.61% 1.50%

0.71% -0.25% 1.50% 0.27 26.2% 1.48% 1.51%

1.12% 0.41% 1.43% 0.29 26.8% 1.48% 1.51%

0.24% -0.89% 1.37% 0.17 23.6% 1.42% 1.51%

-0.67% -0.90% 1.33% 0.17 23.8% 1.27% 1.51%

-0.86% -0.19% 1.30% 0.42 30.3% 1.20% 1.49%

0.79% 1.65% 1.24% -0.41 13.3% 1.13% 1.46%

1.34% 0.55% 1.30% 0.34 28.2% 0.77% 1.44%

-0.48% -1.82% 1.25% -0.59 11.1% 0.96% 1.39%

-0.31% 0.17% 1.32% 0.40 30.0% 0.95% 1.36%

1.10% 1.40% 1.26% -0.16 17.0% 1.01% 1.33%

-0.29% -1.39% 1.28% -0.14 17.3% 1.09% 1.31%

0.52% 0.81% 1.30% 0.23 25.3% 1.12% 1.30%

Page 61: GARCH Example

-0.09% -0.61% 1.26% 0.34 28.1% 1.10% 1.29%

0.52% 0.61% 1.22% 0.36 28.8% 1.07% 1.27%

0.16% -0.37% 1.18% 0.47 32.1% 1.08% 1.26%

-0.12% -0.28% 1.14% 0.53 34.1% 0.95% 1.25%

0.51% 0.63% 1.09% 0.44 30.9% 0.96% 1.23%

-0.28% -0.79% 1.06% 0.35 28.5% 0.81% 1.21%

-0.48% -0.20% 1.05% 0.62 37.3% 0.81% 1.18%

1.00% 1.48% 1.01% -0.40 13.4% 0.82% 1.16%

0.20% -0.80% 1.07% 0.34 28.1% 0.74% 1.14%

-0.90% -1.10% 1.06% 0.09 21.9% 0.77% 1.11%

-0.98% -0.08% 1.07% 0.62 37.0% 0.75% 1.10%

0.69% 1.67% 1.03% -0.66 10.4% 0.90% 1.08%

-0.53% -1.22% 1.12% -0.02 19.7% 0.97% 1.07%

-0.35% 0.18% 1.14% 0.55 34.6% 0.97% 1.07%

-0.49% -0.14% 1.09% 0.60 36.3% 0.95% 1.07%

0.20% 0.69% 1.04% 0.43 30.8% 0.94% 1.07%

-0.27% -0.47% 1.03% 0.56 35.0% 0.95% 1.07%

-1.02% -0.74% 0.99% 0.42 30.3% 0.84% 1.06%

-1.45% -0.44% 0.98% 0.61 36.7% 0.82% 1.06%

1.07% 2.52% 0.96% -2.74 1.3% 1.08% 1.05%

-0.59% -1.65% 1.21% -0.43 13.0% 1.22% 1.06%

-0.16% 0.43% 1.27% 0.40 29.7% 1.10% 1.08%

-0.02% 0.14% 1.22% 0.49 32.5% 1.04% 1.09%

-0.67% -0.65% 1.16% 0.38 29.4% 1.06% 1.10%

-0.82% -0.15% 1.13% 0.56 34.9% 1.06% 1.10%

-0.04% 0.78% 1.08% 0.35 28.5% 1.06% 1.10%

2.22% 2.27% 1.07% -1.63 3.9% 1.25% 1.11%

-1.49% -3.72% 1.25% -3.98 0.4% 1.72% 1.13%

-0.02% 1.47% 1.67% -0.21 16.2% 1.77% 1.20%

-0.68% -0.66% 1.65% 0.11 22.3% 1.59% 1.27%

0.55% 1.23% 1.58% -0.07 18.6% 1.56% 1.31%

0.14% -0.41% 1.55% 0.22 24.8% 1.56% 1.34%

-1.90% -2.04% 1.48% -0.65 10.5% 1.68% 1.36%

-0.49% 1.41% 1.55% -0.16 17.1% 1.73% 1.40%

-1.07% -0.58% 1.54% 0.19 24.2% 1.74% 1.44%

-1.62% -0.55% 1.47% 0.23 25.3% 1.73% 1.48%

-2.55% -0.93% 1.41% 0.13 22.7% 1.53% 1.51%

3.34% 5.89% 1.38% -8.79 0.0% 2.10% 1.53%

0.03% -3.31% 2.27% -1.19 6.1% 2.35% 1.59%

-1.79% -1.83% 2.38% -0.47 12.5% 2.41% 1.66%

-0.58% 1.21% 2.33% -0.29 15.0% 2.41% 1.74%

3.47% 4.06% 2.24% -1.76 3.5% 2.71% 1.80%

0.59% -2.89% 2.47% -0.90 8.2% 2.79% 1.90%

-0.08% -0.67% 2.51% -0.27 15.3% 2.78% 2.00%

0.17% 0.25% 2.39% -0.18 16.6% 2.77% 2.08%

-2.38% -2.55% 2.26% -0.76 9.4% 2.88% 2.16%

-0.03% 2.34% 2.28% -0.66 10.3% 2.95% 2.25%

1.11% 1.14% 2.29% -0.26 15.4% 2.32% 2.34%

1.38% 0.27% 2.19% -0.10 18.0% 2.08% 2.33%

2.20% 0.81% 2.08% -0.12 17.8% 1.98% 2.30%

-0.57% -2.77% 1.99% -0.97 7.6% 2.17% 2.27%

Page 62: GARCH Example

0.50% 1.07% 2.08% -0.17 16.8% 1.75% 2.25%

-0.11% -0.61% 2.00% -0.05 19.1% 1.54% 2.21%

0.39% 0.50% 1.90% 0.01 20.3% 1.53% 2.15%

-0.02% -0.41% 1.81% 0.07 21.5% 1.54% 2.09%

-1.58% -1.56% 1.72% -0.26 15.4% 1.40% 2.03%

-0.65% 0.93% 1.71% 0.01 20.1% 1.22% 1.98%

-2.44% -1.79% 1.65% -0.40 13.4% 1.25% 1.91%

-1.08% 1.36% 1.66% -0.15 17.1% 1.34% 1.86%

2.35% 3.42% 1.64% -1.99 2.7% 1.72% 1.82%

0.50% -1.85% 1.89% -0.42 13.1% 1.59% 1.81%

-1.26% -1.75% 1.89% -0.38 13.7% 1.64% 1.79%

-0.34% 0.92% 1.87% -0.06 18.9% 1.67% 1.77%

-1.84% -1.50% 1.80% -0.24 15.7% 1.71% 1.76%

0.35% 2.19% 1.77% -0.64 10.5% 1.86% 1.76%

-1.85% -2.21% 1.82% -0.64 10.5% 1.92% 1.77%

1.47% 3.32% 1.86% -1.53 4.3% 2.16% 1.78%

0.54% -0.93% 2.05% -0.13 17.6% 2.09% 1.82%

-0.95% -1.49% 1.96% -0.27 15.2% 2.12% 1.85%

0.44% 1.39% 1.92% -0.22 16.0% 1.87% 1.88%

-2.01% -2.45% 1.87% -0.79 9.1% 1.93% 1.88%

0.02% 2.03% 1.94% -0.52 11.9% 1.97% 1.89%

0.74% 0.72% 1.94% -0.04 19.2% 1.96% 1.89%

3.89% 3.15% 1.86% -1.37 5.1% 2.07% 1.90%

-1.82% -5.71% 2.02% -4.01 0.4% 2.71% 1.92%

-0.59% 1.24% 2.62% -0.39 13.6% 2.66% 2.00%

1.96% 2.55% 2.51% -0.74 9.5% 2.57% 2.07%

0.75% -1.21% 2.51% -0.35 14.2% 2.59% 2.12%

-0.65% -1.41% 2.41% -0.36 14.0% 2.58% 2.16%

-0.82% -0.16% 2.32% -0.15 17.2% 2.54% 2.20%

-1.40% -0.59% 2.20% -0.13 17.5% 2.43% 2.23%

-2.15% -0.74% 2.09% -0.11 17.9% 2.35% 2.25%

0.81% 2.95% 1.99% -1.10 6.7% 2.52% 2.25%

-1.30% -2.10% 2.11% -0.55 11.5% 2.36% 2.28%

-3.13% -1.83% 2.10% -0.43 13.0% 1.69% 2.29%

0.80% 3.93% 2.07% -1.83 3.2% 2.06% 2.23%

2.44% 1.64% 2.32% -0.40 13.4% 1.97% 2.21%

0.71% -1.73% 2.26% -0.42 13.2% 2.01% 2.19%

1.04% 0.34% 2.21% -0.11 17.9% 1.96% 2.17%

0.40% -0.65% 2.09% -0.10 18.2% 1.97% 2.14%

-1.04% -1.44% 1.99% -0.26 15.4% 2.02% 2.12%

-2.80% -1.76% 1.94% -0.38 13.6% 2.08% 2.11%

5.01% 7.81% 1.92% -8.21 0.0% 3.06% 2.10%

-1.06% -6.07% 3.06% -2.40 1.8% 3.58% 2.20%

-2.62% -1.57% 3.46% -0.65 10.4% 3.57% 2.33%

-0.19% 2.43% 3.31% -0.78 9.2% 3.43% 2.46%

0.38% 0.57% 3.22% -0.49 12.2% 3.39% 2.55%

0.96% 0.58% 3.05% -0.44 12.8% 3.36% 2.63%

1.03% 0.07% 2.89% -0.37 13.8% 3.35% 2.69%

-0.62% -1.66% 2.73% -0.50 12.1% 3.39% 2.76%

0.61% 1.24% 2.64% -0.39 13.5% 3.38% 2.82%

0.21% -0.40% 2.53% -0.25 15.6% 3.32% 2.88%

Page 63: GARCH Example

1.39% 1.18% 2.40% -0.30 14.8% 2.24% 2.93%

-0.40% -1.79% 2.30% -0.45 12.8% 1.34% 2.85%

0.03% 0.43% 2.25% -0.14 17.4% 1.23% 2.73%

1.30% 1.28% 2.13% -0.25 15.6% 1.06% 2.61%

0.29% -1.02% 2.06% -0.15 17.1% 1.11% 2.50%

-0.50% -0.78% 1.98% -0.07 18.6% 1.11% 2.39%

-0.19% 0.31% 1.89% 0.04 20.8% 1.12% 2.29%

0.68% 0.87% 1.80% -0.01 19.7% 1.02% 2.20%

0.70% 0.02% 1.73% 0.14 23.1% 0.95% 2.11%

-0.56% -1.26% 1.64% -0.10 18.1% 1.02% 2.02%

0.55% 1.11% 1.61% -0.02 19.6% 1.01% 1.94%

-1.75% -2.29% 1.57% -0.83 8.7% 1.11% 1.87%

0.36% 2.11% 1.66% -0.62 10.7% 1.29% 1.81%

-0.15% -0.51% 1.71% 0.11 22.4% 1.23% 1.76%

-0.84% -0.69% 1.63% 0.11 22.4% 1.21% 1.72%

-0.62% 0.22% 1.56% 0.23 25.3% 1.19% 1.68%

-1.33% -0.71% 1.49% 0.18 23.9% 1.20% 1.64%

1.18% 2.52% 1.43% -1.21 6.0% 1.42% 1.60%

-0.87% -2.05% 1.58% -0.61 10.9% 1.55% 1.59%

-0.22% 0.65% 1.63% 0.12 22.6% 1.52% 1.59%

0.81% 1.03% 1.56% 0.03 20.5% 1.52% 1.58%

-1.89% -2.70% 1.52% -1.31 5.4% 1.58% 1.58%

-1.74% 0.15% 1.68% 0.17 23.7% 1.42% 1.58%

-1.85% -0.12% 1.59% 0.22 25.0% 1.42% 1.57%

-0.20% 1.66% 1.52% -0.32 14.5% 1.50% 1.56%

-0.56% -0.36% 1.53% 0.24 25.3% 1.51% 1.55%

1.75% 2.30% 1.46% -0.93 7.9% 1.63% 1.55%

-0.77% -2.51% 1.57% -1.05 7.0% 1.65% 1.56%

-1.43% -0.66% 1.69% 0.09 21.9% 1.54% 1.57%

0.10% 1.53% 1.62% -0.24 15.7% 1.60% 1.57%

-0.57% -0.67% 1.61% 0.13 22.7% 1.58% 1.58%

0.59% 1.15% 1.54% -0.02 19.5% 1.36% 1.58%

1.00% 0.41% 1.51% 0.24 25.4% 1.36% 1.56%

0.65% -0.35% 1.44% 0.29 26.8% 1.37% 1.55%

0.23% -0.42% 1.38% 0.32 27.6% 1.30% 1.54%

-2.48% -2.70% 1.32% -1.68 3.7% 1.54% 1.51%

-4.32% -1.84% 1.52% -0.46 12.6% 1.36% 1.52%

1.48% 5.80% 1.56% -6.70 0.0% 2.21% 1.52%

-2.58% -4.07% 2.35% -1.67 3.8% 2.56% 1.58%

0.59% 3.17% 2.56% -1.02 7.2% 2.71% 1.68%

-1.96% -2.55% 2.62% -0.75 9.5% 2.81% 1.78%

1.76% 3.73% 2.61% -1.29 5.5% 3.03% 1.89%

-2.41% -4.17% 2.73% -1.48 4.5% 3.28% 2.01%

-1.79% 0.62% 2.90% -0.40 13.5% 3.30% 2.15%

-0.41% 1.39% 2.75% -0.45 12.8% 3.33% 2.29%

1.99% 2.40% 2.63% -0.69 10.0% 3.28% 2.42%

1.13% -0.86% 2.60% -0.32 14.5% 3.22% 2.53%

2.56% 1.43% 2.48% -0.38 13.6% 2.74% 2.62%

-2.44% -5.00% 2.39% -2.37 1.9% 2.89% 2.63%

-0.46% 1.98% 2.75% -0.58 11.2% 2.78% 2.65%

1.08% 1.54% 2.68% -0.46 12.6% 2.69% 2.65%

Page 64: GARCH Example

-1.25% -2.32% 2.58% -0.66 10.3% 2.53% 2.65%

-3.44% -2.19% 2.55% -0.62 10.8% 2.29% 2.63%

-0.29% 3.15% 2.51% -1.02 7.2% 2.48% 2.59%

4.37% 4.66% 2.57% -1.89 3.0% 2.82% 2.57%

-2.00% -6.37% 2.84% -2.87 1.1% 3.39% 2.60%

0.81% 2.81% 3.35% -0.87 8.4% 3.52% 2.67%

2.71% 1.89% 3.29% -0.67 10.3% 3.54% 2.75%

-0.21% -2.92% 3.16% -0.89 8.2% 3.29% 2.83%

1.51% 1.72% 3.13% -0.60 11.0% 3.28% 2.87%

-0.32% -1.83% 3.01% -0.60 11.0% 3.29% 2.90%

1.03% 1.35% 2.90% -0.48 12.3% 3.23% 2.93%

3.89% 2.86% 2.78% -0.86 8.5% 3.21% 2.95%

1.25% -2.63% 2.78% -0.78 9.2% 3.24% 2.98%

-0.85% -2.11% 2.75% -0.62 10.8% 2.92% 3.00%

-1.50% -0.64% 2.69% -0.33 14.4% 2.19% 2.98%

-1.22% 0.28% 2.55% -0.25 15.5% 2.00% 2.90%

1.59% 2.81% 2.42% -0.87 8.4% 2.11% 2.82%

0.47% -1.12% 2.45% -0.31 14.6% 1.93% 2.75%

1.50% 1.03% 2.35% -0.26 15.4% 1.88% 2.67%

-0.29% -1.79% 2.25% -0.44 12.9% 1.88% 2.59%

1.36% 1.65% 2.20% -0.38 13.7% 1.90% 2.52%

0.08% -1.28% 2.15% -0.25 15.5% 1.68% 2.46%

-1.49% -1.57% 2.08% -0.32 14.5% 1.56% 2.39%

1.44% 2.93% 2.03% -1.06 6.9% 1.70% 2.32%

-0.24% -1.69% 2.13% -0.38 13.7% 1.78% 2.26%

-0.18% 0.06% 2.09% -0.05 19.1% 1.78% 2.21%

-0.45% -0.27% 1.98% 0.00 20.0% 1.53% 2.17%

-0.03% 0.42% 1.88% 0.04 20.7% 1.51% 2.11%

-0.76% -0.73% 1.79% 0.03 20.5% 1.47% 2.06%

0.26% 1.02% 1.71% -0.02 19.5% 1.42% 2.00%

0.04% -0.22% 1.66% 0.18 23.9% 1.31% 1.95%

2.85% 2.80% 1.58% -1.35 5.2% 1.51% 1.89%

0.27% -2.57% 1.74% -0.96 7.7% 1.66% 1.86%

0.27% 0.00% 1.84% 0.08 21.7% 1.38% 1.84%

1.62% 1.35% 1.74% -0.16 17.0% 1.33% 1.80%

-0.26% -1.88% 1.71% -0.45 12.8% 1.47% 1.76%

-1.55% -1.29% 1.73% -0.13 17.5% 1.52% 1.74%

0.32% 1.87% 1.69% -0.45 12.8% 1.63% 1.72%

-1.18% -1.50% 1.71% -0.23 15.9% 1.68% 1.71%

-0.78% 0.40% 1.69% 0.14 23.0% 1.65% 1.71%

-1.57% -0.79% 1.61% 0.10 22.0% 1.67% 1.70%

0.62% 2.19% 1.55% -0.74 9.5% 1.56% 1.70%

0.39% -0.23% 1.62% 0.19 24.3% 1.36% 1.69%

0.51% 0.12% 1.55% 0.25 25.7% 1.36% 1.66%

1.30% 0.79% 1.47% 0.16 23.5% 1.31% 1.63%

-1.05% -2.35% 1.42% -1.03 7.1% 1.38% 1.60%

0.55% 1.60% 1.54% -0.28 15.1% 1.40% 1.58%

-0.94% -1.49% 1.55% -0.21 16.3% 1.37% 1.57%

-0.84% 0.10% 1.55% 0.25 25.8% 1.29% 1.55%

0.12% 0.95% 1.47% 0.10 22.0% 1.31% 1.53%

-1.13% -1.25% 1.43% -0.05 19.0% 1.35% 1.51%

Page 65: GARCH Example

-1.75% -0.62% 1.42% 0.25 25.6% 1.15% 1.50%

-0.45% 1.30% 1.36% -0.07 18.6% 1.24% 1.48%

-0.49% -0.04% 1.36% 0.38 29.3% 1.24% 1.46%

0.34% 0.83% 1.30% 0.22 25.0% 1.24% 1.44%

0.87% 0.53% 1.27% 0.37 28.9% 1.00% 1.42%

1.14% 0.27% 1.22% 0.47 32.0% 0.88% 1.39%

-0.94% -2.08% 1.17% -1.05 7.0% 1.00% 1.35%

-0.55% 0.39% 1.29% 0.39 29.4% 1.00% 1.33%

-0.15% 0.40% 1.24% 0.42 30.5% 0.97% 1.31%

-0.47% -0.32% 1.19% 0.48 32.3% 0.88% 1.28%

1.25% 1.72% 1.14% -0.57 11.3% 0.98% 1.25%

-0.15% -1.40% 1.22% -0.17 17.0% 1.03% 1.24%

1.01% 1.16% 1.24% 0.04 20.8% 1.09% 1.23%

-0.18% -1.19% 1.24% 0.01 20.3% 1.13% 1.22%

-1.23% -1.05% 1.24% 0.12 22.5% 1.15% 1.22%

-2.35% -1.12% 1.23% 0.07 21.5% 1.16% 1.22%

0.69% 3.04% 1.23% -2.58 1.5% 1.39% 1.23%

-1.44% -2.13% 1.51% -0.71 9.8% 1.55% 1.25%

-0.11% 1.33% 1.58% -0.12 17.7% 1.60% 1.28%

2.37% 2.48% 1.56% -1.02 7.2% 1.76% 1.32%

0.62% -1.75% 1.68% -0.37 13.8% 1.78% 1.37%

-1.09% -1.71% 1.69% -0.35 14.1% 1.81% 1.42%

1.00% 2.09% 1.69% -0.60 11.0% 1.89% 1.47%

-0.55% -1.55% 1.73% -0.26 15.4% 1.92% 1.51%

0.61% 1.16% 1.72% -0.08 18.5% 1.91% 1.56%

-0.34% -0.95% 1.67% 0.02 20.3% 1.90% 1.61%

-1.64% -1.29% 1.61% -0.11 17.9% 1.69% 1.64%

-1.63% 0.01% 1.59% 0.23 25.2% 1.57% 1.65%

1.61% 3.24% 1.51% -2.02 2.6% 1.82% 1.64%

1.04% -0.56% 1.76% 0.08 21.6% 1.65% 1.66%

0.24% -0.80% 1.68% 0.06 21.2% 1.58% 1.66%

-0.11% -0.35% 1.61% 0.19 24.2% 1.49% 1.66%

0.56% 0.66% 1.54% 0.17 23.6% 1.35% 1.64%

0.39% -0.17% 1.48% 0.29 26.8% 1.26% 1.62%

0.40% 0.01% 1.41% 0.35 28.4% 1.21% 1.58%

-0.52% -0.92% 1.34% 0.16 23.5% 1.21% 1.55%

-1.14% -0.62% 1.31% 0.31 27.3% 1.15% 1.52%

0.33% 1.47% 1.26% -0.22 16.1% 1.23% 1.49%

-1.73% -2.06% 1.29% -0.84 8.7% 0.90% 1.47%

-0.01% 1.72% 1.39% -0.41 13.3% 1.08% 1.43%

0.57% 0.58% 1.43% 0.25 25.7% 1.07% 1.41%

0.09% -0.47% 1.37% 0.31 27.3% 1.08% 1.38%

-0.38% -0.48% 1.32% 0.35 28.3% 1.06% 1.36%

-0.73% -0.35% 1.27% 0.42 30.3% 1.07% 1.34%

0.31% 1.04% 1.21% 0.13 22.7% 1.12% 1.32%

-1.67% -1.98% 1.20% -0.84 8.6% 1.25% 1.31%

0.81% 2.48% 1.31% -1.38 5.1% 1.45% 1.31%

-1.21% -2.02% 1.47% -0.64 10.6% 1.52% 1.33%

0.70% 1.90% 1.54% -0.51 12.0% 1.49% 1.35%

-0.28% -0.97% 1.58% 0.04 20.9% 1.44% 1.37%

1.97% 2.24% 1.53% -0.81 8.9% 1.59% 1.38%

Page 66: GARCH Example

-0.48% -2.45% 1.62% -0.94 7.8% 1.76% 1.40%

-1.50% -1.02% 1.72% -0.03 19.5% 1.78% 1.44%

-1.11% 0.39% 1.66% 0.16 23.4% 1.79% 1.48%

-1.70% -0.59% 1.58% 0.16 23.5% 1.76% 1.52%

0.40% 2.10% 1.52% -0.69 10.1% 1.77% 1.55%

-0.06% -0.46% 1.59% 0.19 24.1% 1.60% 1.58%

-0.11% -0.05% 1.52% 0.27 26.3% 1.47% 1.58%

-2.24% -2.13% 1.44% -0.77 9.3% 1.48% 1.58%

-1.86% 0.38% 1.53% 0.24 25.4% 1.47% 1.57%

0.62% 2.49% 1.46% -1.14 6.4% 1.51% 1.56%

-4.92% -5.54% 1.59% -5.84 0.1% 2.14% 1.56%

-0.58% 4.34% 2.31% -1.92 2.9% 2.56% 1.62%

-1.61% -1.03% 2.57% -0.34 14.3% 2.58% 1.71%

-3.11% -1.49% 2.46% -0.39 13.5% 2.61% 1.80%

-1.90% 1.20% 2.37% -0.30 14.8% 2.55% 1.88%

3.90% 5.80% 2.28% -3.37 0.7% 3.12% 1.95%

0.88% -3.02% 2.82% -0.92 8.0% 3.28% 2.08%

-0.52% -1.40% 2.83% -0.47 12.5% 3.24% 2.22%

1.15% 1.67% 2.72% -0.50 12.2% 3.27% 2.34%

2.19% 1.04% 2.62% -0.35 14.1% 3.20% 2.46%

-0.23% -2.42% 2.50% -0.70 10.0% 2.75% 2.55%

1.23% 1.46% 2.49% -0.39 13.5% 2.47% 2.57%

1.99% 0.76% 2.40% -0.24 15.8% 2.44% 2.55%

-0.25% -2.24% 2.29% -0.62 10.8% 2.51% 2.53%

0.16% 0.41% 2.28% -0.15 17.2% 2.49% 2.52%

-0.83% -1.00% 2.16% -0.19 16.6% 1.66% 2.51%

-0.54% 0.30% 2.07% -0.05 19.1% 1.43% 2.44%

2.29% 2.83% 1.96% -1.02 7.2% 1.61% 2.35%

1.52% -0.77% 2.06% -0.10 18.0% 1.57% 2.28%

-0.53% -2.05% 1.97% -0.53 11.8% 1.64% 2.22%

-0.15% 0.37% 1.98% -0.01 19.8% 1.48% 2.17%

0.69% 0.85% 1.88% -0.04 19.2% 1.43% 2.10%

-1.86% -2.56% 1.80% -0.91 8.1% 1.58% 2.04%

-0.79% 1.08% 1.89% -0.11 18.0% 1.50% 2.01%

0.46% 1.24% 1.82% -0.14 17.3% 1.55% 1.96%

1.53% 1.07% 1.77% -0.07 18.7% 1.54% 1.92%

-0.47% -2.00% 1.72% -0.53 11.8% 1.67% 1.89%

0.04% 0.51% 1.75% 0.09 21.9% 1.41% 1.86%

1.37% 1.33% 1.67% -0.14 17.4% 1.47% 1.82%

0.41% -0.96% 1.64% 0.03 20.5% 1.35% 1.79%

-2.38% -2.79% 1.58% -1.32 5.3% 1.59% 1.75%

-1.72% 0.67% 1.74% 0.06 21.3% 1.58% 1.74%

0.00% 1.72% 1.67% -0.35 14.1% 1.47% 1.72%

2.29% 2.30% 1.67% -0.77 9.3% 1.59% 1.70%

0.29% -2.01% 1.75% -0.53 11.8% 1.69% 1.70%

1.44% 1.15% 1.77% -0.09 18.2% 1.70% 1.70%

1.45% 0.01% 1.72% 0.15 23.2% 1.56% 1.70%

-0.27% -1.73% 1.63% -0.36 14.0% 1.66% 1.68%

0.25% 0.52% 1.65% 0.14 23.1% 1.61% 1.68%

0.16% -0.09% 1.57% 0.24 25.3% 1.58% 1.68%

-0.18% -0.33% 1.49% 0.26 26.0% 1.30% 1.67%

Page 67: GARCH Example

1.86% 2.03% 1.43% -0.68 10.1% 1.41% 1.64%

0.19% -1.67% 1.50% -0.33 14.3% 1.45% 1.62%

0.09% -0.10% 1.52% 0.27 26.2% 1.23% 1.60%

-0.31% -0.40% 1.45% 0.28 26.5% 1.08% 1.57%

1.09% 1.40% 1.38% -0.15 17.2% 1.11% 1.53%

-0.73% -1.82% 1.39% -0.50 12.2% 1.24% 1.50%

-0.49% 0.24% 1.44% 0.31 27.3% 1.13% 1.48%

1.17% 1.66% 1.37% -0.36 14.0% 1.23% 1.45%

0.62% -0.56% 1.41% 0.27 26.2% 1.25% 1.44%

-0.68% -1.30% 1.35% -0.07 18.6% 1.31% 1.42%

-1.83% -1.14% 1.35% 0.03 20.7% 1.14% 1.42%

1.03% 2.86% 1.34% -1.88 3.0% 1.40% 1.40%

-0.07% -1.10% 1.56% 0.00 19.9% 1.45% 1.40%

-0.84% -0.77% 1.52% 0.14 23.0% 1.46% 1.41%

1.32% 2.16% 1.47% -0.77 9.2% 1.55% 1.42%

2.23% 0.91% 1.55% 0.08 21.6% 1.44% 1.44%

-0.28% -2.51% 1.50% -1.11 6.6% 1.67% 1.44%

-0.75% -0.48% 1.63% 0.16 23.4% 1.58% 1.47%

-1.59% -0.83% 1.56% 0.10 22.2% 1.59% 1.48%

-0.28% 1.31% 1.51% -0.10 18.2% 1.60% 1.50%

0.03% 0.31% 1.49% 0.27 26.2% 1.55% 1.51%

-1.56% -1.58% 1.42% -0.28 15.1% 1.35% 1.52%

0.33% 1.89% 1.44% -0.53 11.7% 1.45% 1.51%

1.00% 0.67% 1.49% 0.19 24.1% 1.44% 1.51%

0.75% -0.25% 1.44% 0.31 27.3% 1.28% 1.50%

0.58% -0.17% 1.37% 0.37 28.9% 1.24% 1.49%

-0.84% -1.42% 1.31% -0.17 16.9% 1.06% 1.47%

0.44% 1.27% 1.32% -0.05 19.0% 1.12% 1.44%

-0.02% -0.46% 1.32% 0.35 28.4% 1.10% 1.41%

0.41% 0.43% 1.27% 0.39 29.6% 1.03% 1.39%

0.68% 0.26% 1.22% 0.47 31.9% 1.03% 1.36%

0.34% -0.34% 1.17% 0.49 32.7% 0.89% 1.34%

-1.11% -1.45% 1.12% -0.26 15.4% 0.82% 1.30%

0.57% 1.69% 1.17% -0.51 12.0% 0.96% 1.27%

0.92% 0.34% 1.24% 0.44 31.1% 0.97% 1.25%

0.62% -0.30% 1.18% 0.49 32.6% 0.97% 1.23%

-0.65% -1.27% 1.14% -0.06 18.8% 0.95% 1.22%

-0.36% 0.29% 1.16% 0.51 33.4% 0.86% 1.20%

-0.48% -0.12% 1.11% 0.58 35.7% 0.85% 1.18%

0.12% 0.60% 1.06% 0.47 31.9% 0.86% 1.16%

-0.95% -1.07% 1.04% 0.12 22.6% 0.91% 1.14%

-0.63% 0.32% 1.05% 0.59 36.3% 0.92% 1.13%

0.68% 1.31% 1.01% -0.16 17.0% 0.88% 1.12%

-1.62% -2.31% 1.06% -1.75 3.5% 1.00% 1.10%

1.00% 2.63% 1.24% -1.76 3.5% 1.32% 1.11%

-0.99% -2.00% 1.45% -0.63 10.7% 1.45% 1.13%

-0.73% 0.26% 1.51% 0.26 26.0% 1.40% 1.17%

0.79% 1.53% 1.44% -0.24 15.8% 1.48% 1.20%

0.35% -0.44% 1.45% 0.27 26.2% 1.49% 1.23%

0.10% -0.25% 1.39% 0.34 28.2% 1.48% 1.26%

-0.02% -0.12% 1.33% 0.40 29.9% 1.44% 1.29%

Page 68: GARCH Example

-2.86% -2.84% 1.27% -2.07 2.5% 1.68% 1.32%

1.17% 4.04% 1.50% -3.33 0.7% 2.08% 1.36%

1.49% 0.32% 1.91% 0.03 20.6% 1.92% 1.45%

-0.71% -2.20% 1.81% -0.64 10.5% 1.89% 1.51%

-2.47% -1.77% 1.85% -0.38 13.7% 1.87% 1.55%

-0.40% 2.07% 1.84% -0.55 11.5% 1.98% 1.58%

-0.60% -0.19% 1.87% 0.06 21.3% 1.92% 1.62%

-0.31% 0.29% 1.77% 0.10 22.2% 1.92% 1.65%

1.49% 1.79% 1.69% -0.40 13.4% 2.00% 1.68%

1.43% -0.05% 1.70% 0.16 23.5% 2.00% 1.72%

-0.40% -1.83% 1.61% -0.43 13.0% 1.86% 1.76%

0.99% 1.39% 1.64% -0.16 17.0% 1.45% 1.77%

-0.18% -1.18% 1.62% -0.05 19.0% 1.48% 1.74%

-1.10% -0.92% 1.58% 0.06 21.3% 1.35% 1.72%

-1.89% -0.79% 1.53% 0.13 22.9% 1.25% 1.68%

1.35% 3.24% 1.47% -2.11 2.4% 1.47% 1.65%

-1.55% -2.90% 1.73% -1.26 5.7% 1.74% 1.63%

0.82% 2.37% 1.88% -0.74 9.6% 1.89% 1.64%

1.80% 0.98% 1.93% -0.10 18.2% 1.83% 1.67%

0.00% -1.80% 1.86% -0.40 13.4% 1.92% 1.68%

0.05% 0.05% 1.85% 0.07 21.5% 1.83% 1.71%

-0.28% -0.33% 1.76% 0.11 22.3% 1.78% 1.72%

2.26% 2.55% 1.67% -0.99 7.5% 1.90% 1.73%

1.95% -0.31% 1.78% 0.10 22.1% 1.87% 1.75%

-0.67% -2.62% 1.69% -1.03 7.1% 2.05% 1.76%

1.45% 2.12% 1.80% -0.59 11.1% 1.91% 1.80%

-0.45% -1.90% 1.84% -0.45 12.7% 1.77% 1.81%

0.58% 1.03% 1.84% -0.08 18.5% 1.64% 1.80%

0.34% -0.25% 1.78% 0.11 22.2% 1.61% 1.79%

-0.23% -0.57% 1.69% 0.11 22.3% 1.52% 1.77%

-0.99% -0.76% 1.61% 0.10 22.1% 1.54% 1.75%

-0.09% 0.89% 1.55% 0.08 21.8% 1.56% 1.73%

1.14% 1.23% 1.50% -0.05 19.0% 1.39% 1.71%

-0.05% -1.19% 1.48% -0.03 19.5% 1.42% 1.68%

0.41% 0.46% 1.46% 0.26 26.0% 1.18% 1.66%

-1.58% -1.98% 1.39% -0.65 10.4% 1.12% 1.61%

0.15% 1.73% 1.47% -0.39 13.6% 1.13% 1.58%

-0.42% -0.57% 1.50% 0.21 24.7% 1.10% 1.54%

-1.47% -1.04% 1.44% 0.07 21.4% 1.13% 1.51%

0.58% 2.05% 1.41% -0.71 9.8% 1.30% 1.48%

0.53% -0.05% 1.49% 0.29 26.8% 1.27% 1.47%

0.25% -0.29% 1.41% 0.32 27.6% 1.25% 1.45%

-0.07% -0.32% 1.35% 0.36 28.7% 1.19% 1.44%

-0.85% -0.78% 1.29% 0.25 25.8% 1.16% 1.42%

-1.00% -0.15% 1.25% 0.46 31.6% 1.15% 1.40%

0.08% 1.08% 1.20% 0.10 22.1% 1.02% 1.38%

-0.32% -0.40% 1.19% 0.46 31.5% 0.88% 1.35%

0.23% 0.55% 1.15% 0.44 31.0% 0.88% 1.32%

-0.67% -0.89% 1.11% 0.26 26.0% 0.86% 1.29%

1.13% 1.80% 1.10% -0.74 9.5% 0.80% 1.25%

-2.37% -3.50% 1.20% -3.77 0.5% 1.34% 1.23%

Page 69: GARCH Example

0.66% 3.03% 1.59% -1.60 4.0% 1.67% 1.24%

-0.76% -1.42% 1.78% -0.21 16.3% 1.72% 1.29%

2.34% 3.10% 1.75% -1.44 4.7% 1.94% 1.33%

-0.20% -2.55% 1.93% -0.84 8.6% 2.13% 1.40%

-0.14% 0.06% 1.99% 0.00 20.0% 2.10% 1.48%

0.06% 0.20% 1.89% 0.05 21.0% 2.10% 1.55%

-1.54% -1.60% 1.79% -0.29 14.9% 2.14% 1.61%

-0.62% 0.92% 1.78% -0.02 19.6% 2.15% 1.68%

-0.71% -0.09% 1.71% 0.15 23.3% 2.07% 1.74%

-0.15% 0.56% 1.62% 0.15 23.1% 1.75% 1.78%

-1.39% -1.24% 1.55% -0.07 18.7% 1.52% 1.78%

-1.01% 0.38% 1.53% 0.24 25.3% 1.47% 1.75%

1.08% 2.09% 1.46% -0.71 9.8% 1.27% 1.73%

0.89% -0.19% 1.53% 0.25 25.8% 0.99% 1.69%

-0.17% -1.06% 1.46% 0.05 21.0% 1.05% 1.63%

-1.03% -0.85% 1.43% 0.16 23.4% 1.07% 1.59%

-1.93% -0.91% 1.39% 0.15 23.2% 0.99% 1.55%

-0.30% 1.63% 1.35% -0.34 14.2% 1.08% 1.50%

3.75% 4.05% 1.39% -3.91 0.4% 1.62% 1.47%

-1.45% -5.21% 1.83% -3.95 0.4% 2.34% 1.49%

-1.68% -0.22% 2.39% -0.18 16.6% 2.31% 1.58%

1.85% 3.53% 2.26% -1.35 5.2% 2.55% 1.65%

2.11% 0.26% 2.41% -0.20 16.4% 2.48% 1.74%

-0.57% -2.68% 2.29% -0.82 8.8% 2.62% 1.82%

0.66% 1.22% 2.32% -0.29 15.0% 2.63% 1.91%

0.76% 0.10% 2.23% -0.11 17.9% 2.61% 1.99%

-1.33% -2.09% 2.11% -0.55 11.6% 2.68% 2.06%

-1.10% 0.23% 2.11% -0.06 18.8% 2.63% 2.13%

0.57% 1.67% 2.00% -0.35 14.1% 2.34% 2.20%

1.02% 0.45% 1.97% -0.01 19.8% 1.68% 2.21%

-1.21% -2.23% 1.87% -0.64 10.5% 1.83% 2.16%

-0.86% 0.35% 1.91% 0.03 20.6% 1.43% 2.12%

-0.64% 0.21% 1.81% 0.09 21.9% 1.43% 2.06%

-0.71% -0.07% 1.72% 0.15 23.2% 1.19% 2.01%

0.66% 1.37% 1.63% -0.15 17.2% 1.20% 1.94%

-2.48% -3.14% 1.61% -1.69 3.7% 1.52% 1.88%

0.00% 2.48% 1.82% -0.84 8.7% 1.61% 1.85%

0.88% 0.88% 1.90% -0.06 18.9% 1.63% 1.82%

-1.98% -2.86% 1.82% -1.14 6.4% 1.78% 1.81%

-0.16% 1.82% 1.95% -0.41 13.2% 1.88% 1.80%

0.31% 0.47% 1.93% 0.00 20.0% 1.74% 1.81%

-1.66% -1.98% 1.84% -0.50 12.2% 1.85% 1.80%

0.66% 2.32% 1.85% -0.71 9.8% 1.99% 1.81%

-1.05% -1.71% 1.90% -0.35 14.0% 2.06% 1.83%

-0.23% 0.82% 1.88% -0.04 19.3% 2.03% 1.85%

2.87% 3.10% 1.80% -1.37 5.1% 1.96% 1.87%

0.09% -2.78% 1.97% -0.98 7.5% 2.07% 1.88%

-1.65% -1.75% 2.06% -0.39 13.5% 2.10% 1.90%

-1.34% 0.31% 2.03% -0.03 19.4% 1.92% 1.92%

-1.70% -0.36% 1.93% 0.02 20.4% 1.83% 1.92%

0.36% 2.07% 1.83% -0.55 11.5% 1.94% 1.91%

Page 70: GARCH Example

-1.67% -2.03% 1.85% -0.53 11.8% 1.95% 1.91%

-0.27% 1.40% 1.87% -0.22 16.1% 1.86% 1.91%

1.76% 2.02% 1.83% -0.53 11.8% 1.87% 1.90%

-0.08% -1.84% 1.85% -0.42 13.1% 1.96% 1.90%

-2.14% -2.06% 1.85% -0.54 11.6% 1.75% 1.91%

-2.12% 0.02% 1.87% 0.07 21.4% 1.58% 1.90%

0.62% 2.74% 1.77% -1.08 6.8% 1.71% 1.87%

3.67% 3.05% 1.89% -1.25 5.7% 1.91% 1.85%

-1.22% -4.89% 2.03% -2.92 1.1% 2.51% 1.86%

-2.47% -1.25% 2.46% -0.34 14.2% 2.44% 1.93%

-3.40% -0.92% 2.36% -0.25 15.6% 2.38% 1.98%

0.75% 4.15% 2.26% -1.81 3.3% 2.68% 2.02%

-0.64% -1.39% 2.50% -0.38 13.6% 2.63% 2.08%

-0.38% 0.27% 2.41% -0.20 16.5% 2.58% 2.14%

-1.85% -1.48% 2.28% -0.34 14.2% 2.54% 2.18%

0.57% 2.42% 2.21% -0.70 9.9% 2.64% 2.22%

-2.70% -3.27% 2.23% -1.19 6.1% 2.69% 2.26%

-3.84% -1.13% 2.35% -0.28 15.1% 2.45% 2.31%

-3.29% 0.54% 2.25% -0.15 17.2% 2.04% 2.33%

-2.70% 0.59% 2.14% -0.11 18.0% 2.02% 2.30%

5.73% 8.43% 2.04% -8.61 0.0% 3.20% 2.27%

-0.56% -6.30% 3.28% -2.34 1.9% 3.65% 2.37%

1.69% 2.25% 3.67% -0.80 9.0% 3.69% 2.49%

5.41% 3.72% 3.54% -1.13 6.5% 3.83% 2.60%

0.42% -4.98% 3.55% -1.56 4.2% 4.15% 2.73%

0.98% 0.55% 3.70% -0.63 10.7% 4.09% 2.87%

-2.96% -3.94% 3.50% -1.19 6.1% 4.15% 3.00%

-2.31% 0.65% 3.53% -0.59 11.1% 4.14% 3.12%

-3.43% -1.12% 3.35% -0.57 11.3% 4.15% 3.23%

2.99% 6.42% 3.18% -2.50 1.6% 4.58% 3.33%

2.00% -0.99% 3.62% -0.63 10.6% 3.76% 3.49%

3.27% 1.27% 3.44% -0.61 10.8% 3.22% 3.51%

0.35% -2.92% 3.27% -0.89 8.2% 3.29% 3.47%

-0.53% -0.88% 3.23% -0.52 11.9% 3.03% 3.44%

-2.17% -1.63% 3.07% -0.57 11.3% 2.69% 3.39%

4.00% 6.17% 2.94% -2.59 1.5% 3.32% 3.31%

1.16% -2.85% 3.39% -0.88 8.3% 3.19% 3.30%

-0.16% -1.32% 3.33% -0.59 11.1% 3.23% 3.28%

2.36% 2.52% 3.17% -0.78 9.2% 3.27% 3.26%

-1.40% -3.76% 3.10% -1.17 6.2% 2.85% 3.26%

1.27% 2.67% 3.16% -0.82 8.8% 2.98% 3.21%

1.41% 0.13% 3.11% -0.44 12.8% 2.95% 3.18%

-2.27% -3.67% 2.94% -1.17 6.2% 3.03% 3.14%

0.75% 3.02% 3.01% -0.92 8.0% 3.17% 3.12%

-1.39% -2.14% 3.00% -0.66 10.3% 3.20% 3.12%

-1.81% -0.43% 2.92% -0.39 13.5% 2.48% 3.11%

-0.01% 1.81% 2.76% -0.54 11.7% 2.45% 3.05%

-0.19% -0.18% 2.67% -0.29 14.9% 2.41% 2.98%

-4.15% -3.97% 2.53% -1.47 4.6% 2.52% 2.92%

1.75% 5.91% 2.70% -2.70 1.3% 2.96% 2.88%

-1.60% -3.35% 3.16% -1.02 7.2% 3.03% 2.88%

Page 71: GARCH Example

1.68% 3.28% 3.16% -1.00 7.4% 3.21% 2.88%

1.01% -0.67% 3.16% -0.48 12.3% 2.98% 2.91%

0.73% -0.28% 3.00% -0.41 13.2% 2.85% 2.91%

-0.01% -0.75% 2.84% -0.39 13.6% 2.77% 2.89%

-2.48% -2.46% 2.69% -0.72 9.7% 2.88% 2.87%

0.33% 2.81% 2.66% -0.84 8.6% 2.96% 2.86%

0.14% -0.18% 2.67% -0.29 14.9% 2.96% 2.86%

-1.97% -2.12% 2.53% -0.59 11.1% 2.75% 2.86%

-0.46% 1.51% 2.48% -0.40 13.4% 2.08% 2.84%

-3.01% -2.54% 2.40% -0.75 9.5% 1.97% 2.76%

0.25% 3.25% 2.41% -1.10 6.7% 1.97% 2.68%

-1.38% -1.63% 2.50% -0.44 12.9% 2.01% 2.62%

-1.73% -0.35% 2.42% -0.20 16.3% 2.01% 2.56%

2.49% 4.21% 2.29% -1.83 3.2% 2.40% 2.50%

1.82% -0.67% 2.54% -0.28 15.2% 2.25% 2.49%

-3.23% -5.05% 2.42% -2.37 1.9% 2.63% 2.46%

-1.46% 1.76% 2.78% -0.53 11.7% 2.70% 2.48%

4.00% 5.46% 2.69% -2.36 1.9% 3.08% 2.49%

-2.36% -6.36% 3.07% -2.58 1.5% 3.70% 2.55%

-1.08% 1.28% 3.52% -0.63 10.6% 3.63% 2.66%

-2.24% -1.16% 3.35% -0.58 11.2% 3.50% 2.76%

-1.91% 0.33% 3.19% -0.48 12.4% 3.47% 2.83%

1.69% 3.60% 3.02% -1.13 6.5% 3.63% 2.89%

-2.73% -4.42% 3.07% -1.47 4.6% 3.64% 2.97%

3.50% 6.23% 3.22% -2.35 1.9% 4.16% 3.03%

3.91% 0.41% 3.62% -0.60 11.0% 3.78% 3.15%

0.73% -3.17% 3.42% -0.97 7.6% 3.93% 3.22%

4.73% 4.00% 3.38% -1.23 5.9% 3.75% 3.29%

-2.41% -7.14% 3.44% -2.71 1.3% 3.89% 3.32%

2.23% 4.64% 3.95% -1.37 5.1% 4.13% 3.37%

0.59% -1.64% 4.00% -0.78 9.2% 4.15% 3.43%

1.73% 1.14% 3.82% -0.69 10.0% 4.16% 3.49%

-1.06% -2.80% 3.63% -0.90 8.2% 4.10% 3.55%

0.67% 1.73% 3.54% -0.69 10.0% 3.89% 3.60%

-1.52% -2.19% 3.39% -0.74 9.5% 3.41% 3.62%

1.72% 3.24% 3.28% -0.98 7.5% 3.58% 3.58%

-0.83% -2.54% 3.26% -0.80 9.0% 3.53% 3.57%

-0.91% -0.08% 3.19% -0.47 12.5% 3.26% 3.55%

0.97% 1.88% 3.01% -0.61 10.9% 2.46% 3.51%

-0.56% -1.53% 2.91% -0.51 12.0% 2.04% 3.40%

1.72% 2.27% 2.79% -0.67 10.3% 2.12% 3.28%

0.82% -0.90% 2.74% -0.37 13.8% 2.11% 3.17%

0.78% -0.05% 2.60% -0.27 15.3% 1.90% 3.07%

0.91% 0.14% 2.47% -0.21 16.2% 1.83% 2.96%

-2.29% -3.20% 2.33% -1.10 6.7% 1.97% 2.86%

-0.88% 1.41% 2.43% -0.36 13.9% 1.73% 2.77%

-2.07% -1.20% 2.34% -0.29 15.0% 1.59% 2.68%

0.77% 2.84% 2.25% -0.92 8.0% 1.83% 2.59%

-0.05% -0.82% 2.31% -0.21 16.2% 1.75% 2.52%

2.46% 2.51% 2.20% -0.75 9.5% 1.84% 2.45%

0.61% -1.85% 2.23% -0.46 12.7% 1.81% 2.39%

Page 72: GARCH Example

-1.04% -1.66% 2.19% -0.38 13.7% 1.86% 2.34%

-0.40% 0.64% 2.14% -0.11 17.8% 1.88% 2.29%

1.94% 2.34% 2.04% -0.68 10.1% 2.02% 2.25%

2.15% 0.20% 2.07% -0.04 19.2% 1.69% 2.22%

-0.34% -2.49% 1.96% -0.79 9.1% 1.86% 2.17%

0.25% 0.59% 2.02% -0.05 18.9% 1.82% 2.14%

-2.10% -2.35% 1.92% -0.71 9.9% 1.74% 2.11%

2.80% 4.90% 1.96% -3.09 0.9% 2.32% 2.07%

-0.27% -3.07% 2.41% -1.00 7.4% 2.38% 2.09%

-0.19% 0.08% 2.48% -0.22 16.1% 2.33% 2.12%

-1.47% -1.28% 2.35% -0.31 14.6% 2.30% 2.14%

-0.34% 1.13% 2.26% -0.25 15.6% 2.32% 2.15%

-1.20% -0.86% 2.17% -0.16 17.0% 2.19% 2.16%

0.63% 1.83% 2.07% -0.43 13.0% 2.29% 2.16%

-2.22% -2.84% 2.05% -0.99 7.4% 2.32% 2.17%

1.40% 3.61% 2.14% -1.50 4.5% 2.59% 2.18%

0.06% -1.34% 2.32% -0.32 14.6% 2.51% 2.22%

-0.37% -0.43% 2.24% -0.13 17.5% 1.96% 2.25%

-1.34% -0.97% 2.12% -0.17 16.9% 1.76% 2.22%

2.35% 3.69% 2.04% -1.67 3.8% 2.10% 2.18%

-0.81% -3.17% 2.25% -1.11 6.6% 2.30% 2.17%

-1.31% -0.50% 2.35% -0.19 16.6% 2.28% 2.18%

-0.77% 0.54% 2.23% -0.14 17.3% 2.27% 2.18%

1.30% 2.07% 2.12% -0.54 11.7% 2.29% 2.19%

0.18% -1.12% 2.11% -0.20 16.4% 2.13% 2.19%

-0.55% -0.73% 2.03% -0.08 18.4% 1.81% 2.18%

-0.31% 0.23% 1.94% 0.02 20.4% 1.77% 2.14%

-1.60% -1.29% 1.84% -0.17 17.0% 1.81% 2.11%

0.46% 2.06% 1.79% -0.55 11.5% 1.90% 2.07%

0.05% -0.41% 1.82% 0.07 21.4% 1.49% 2.05%

3.32% 3.27% 1.73% -1.64 3.9% 1.47% 2.00%

-0.05% -3.37% 1.94% -1.48 4.6% 1.85% 1.96%

2.25% 2.30% 2.12% -0.65 10.5% 1.96% 1.95%

-0.65% -2.90% 2.14% -0.99 7.4% 2.08% 1.95%

-1.41% -0.75% 2.22% -0.16 17.0% 2.07% 1.96%

1.94% 3.35% 2.12% -1.31 5.4% 2.30% 1.97%

0.00% -1.94% 2.26% -0.49 12.2% 2.39% 2.00%

-0.14% -0.14% 2.23% -0.11 17.9% 2.36% 2.04%

0.58% 0.72% 2.11% -0.12 17.8% 2.28% 2.07%

-1.44% -2.03% 2.01% -0.52 11.9% 2.36% 2.09%

-0.39% 1.05% 2.01% -0.14 17.3% 2.12% 2.12%

-1.40% -1.01% 1.94% -0.11 18.0% 1.89% 2.12%

-1.57% -0.17% 1.86% 0.06 21.3% 1.71% 2.09%

-1.04% 0.53% 1.77% 0.08 21.6% 1.50% 2.05%

1.02% 2.07% 1.69% -0.58 11.2% 1.60% 2.00%

-2.92% -3.95% 1.73% -2.46 1.7% 1.68% 1.96%

-1.62% 1.31% 2.06% -0.23 15.9% 1.68% 1.94%

1.31% 2.92% 1.99% -1.07 6.8% 1.92% 1.92%

0.68% -0.63% 2.10% -0.10 18.2% 1.92% 1.92%

-2.28% -2.96% 2.00% -1.10 6.7% 2.04% 1.91%

1.31% 3.60% 2.11% -1.51 4.4% 2.31% 1.92%

Page 73: GARCH Example

0.54% -0.77% 2.30% -0.20 16.4% 2.30% 1.96%

-1.41% -1.95% 2.19% -0.49 12.3% 2.38% 1.99%

-0.54% 0.87% 2.16% -0.16 17.0% 2.39% 2.03%

-0.64% -0.10% 2.07% -0.04 19.3% 2.30% 2.07%

-1.01% -0.36% 1.96% 0.00 20.0% 1.93% 2.09%

0.76% 1.77% 1.86% -0.38 13.7% 1.96% 2.07%

-0.81% -1.57% 1.85% -0.28 15.1% 1.80% 2.06%

-1.27% -0.46% 1.82% 0.06 21.2% 1.80% 2.03%

-0.16% 1.11% 1.74% -0.07 18.7% 1.57% 2.01%

2.14% 2.30% 1.69% -0.77 9.3% 1.32% 1.96%

1.95% -0.19% 1.76% 0.12 22.6% 1.30% 1.91%

-0.71% -2.66% 1.67% -1.09 6.7% 1.42% 1.86%

-0.95% -0.24% 1.79% 0.10 22.1% 1.40% 1.82%

1.32% 2.27% 1.70% -0.73 9.6% 1.56% 1.78%

-1.84% -3.16% 1.77% -1.48 4.6% 1.86% 1.76%

0.72% 2.56% 1.95% -0.84 8.7% 1.95% 1.77%

-1.31% -2.03% 2.01% -0.52 11.9% 1.99% 1.79%

1.18% 2.49% 2.01% -0.77 9.2% 2.12% 1.81%

0.46% -0.71% 2.06% -0.09 18.2% 2.12% 1.84%

-0.75% -1.22% 1.97% -0.18 16.7% 2.01% 1.87%

-1.54% -0.78% 1.91% -0.04 19.2% 2.01% 1.88%

0.96% 2.49% 1.82% -0.84 8.6% 2.02% 1.90%

-0.93% -1.89% 1.90% -0.45 12.8% 2.11% 1.91%

0.83% 1.76% 1.90% -0.38 13.7% 2.06% 1.93%

-2.58% -3.41% 1.88% -1.58 4.1% 2.10% 1.94%

-0.84% 1.75% 2.08% -0.39 13.5% 2.01% 1.95%

0.43% 1.27% 2.05% -0.22 16.1% 1.94% 1.96%

3.45% 3.01% 1.98% -1.15 6.3% 2.01% 1.95%

0.16% -3.28% 2.10% -1.27 5.6% 2.26% 1.96%

3.54% 3.38% 2.24% -1.25 5.7% 2.43% 1.99%

0.42% -3.12% 2.38% -1.04 7.1% 2.64% 2.03%

0.87% 0.45% 2.45% -0.22 16.0% 2.53% 2.10%

0.19% -0.68% 2.33% -0.20 16.4% 2.47% 2.14%

2.30% 2.11% 2.21% -0.56 11.4% 2.49% 2.17%

-3.52% -5.82% 2.20% -3.60 0.5% 2.91% 2.20%

1.22% 4.74% 2.77% -1.79 3.3% 3.22% 2.27%

-0.55% -1.76% 3.01% -0.58 11.2% 3.25% 2.37%

-0.16% 0.38% 2.90% -0.38 13.6% 3.09% 2.46%

-0.58% -0.41% 2.75% -0.33 14.3% 2.93% 2.52%

-1.77% -1.20% 2.60% -0.37 13.8% 2.71% 2.56%

1.21% 2.99% 2.49% -0.94 7.8% 2.74% 2.57%

2.61% 1.40% 2.54% -0.39 13.5% 2.77% 2.58%

-0.51% -3.12% 2.44% -1.02 7.2% 2.94% 2.59%

0.27% 0.78% 2.51% -0.28 15.1% 2.86% 2.62%

0.12% -0.15% 2.39% -0.18 16.7% 2.17% 2.64%

-0.19% -0.31% 2.26% -0.14 17.5% 1.61% 2.59%

-1.40% -1.21% 2.15% -0.23 15.8% 1.56% 2.50%

0.65% 2.05% 2.07% -0.53 11.8% 1.69% 2.42%

-0.38% -1.02% 2.06% -0.16 17.1% 1.72% 2.35%

1.95% 2.33% 1.98% -0.68 10.1% 1.79% 2.29%

0.63% -1.32% 2.02% -0.22 16.0% 1.62% 2.24%

Page 74: GARCH Example

-1.22% -1.85% 1.96% -0.43 13.0% 1.62% 2.18%

1.55% 2.78% 1.94% -0.99 7.4% 1.59% 2.13%

-0.18% -1.73% 2.04% -0.38 13.7% 1.68% 2.09%

2.17% 2.35% 2.01% -0.69 10.0% 1.82% 2.05%

0.84% -1.33% 2.04% -0.24 15.8% 1.88% 2.03%

-0.83% -1.67% 1.98% -0.35 14.1% 1.91% 2.01%

-1.38% -0.56% 1.95% -0.02 19.6% 1.80% 2.00%

1.78% 3.17% 1.86% -1.38 5.0% 2.03% 1.98%

0.33% -1.46% 2.02% -0.27 15.2% 1.95% 1.98%

-0.10% -0.43% 1.97% -0.01 19.8% 1.92% 1.98%

-0.07% 0.03% 1.87% 0.06 21.3% 1.82% 1.97%

1.50% 1.57% 1.78% -0.28 15.2% 1.68% 1.95%

-0.38% -1.88% 1.76% -0.45 12.8% 1.69% 1.92%

0.85% 1.23% 1.77% -0.12 17.7% 1.57% 1.90%

-0.51% -1.36% 1.72% -0.16 17.0% 1.57% 1.87%

-1.01% -0.50% 1.69% 0.12 22.6% 1.49% 1.84%

1.43% 2.43% 1.61% -0.92 7.9% 1.65% 1.81%

1.25% -0.17% 1.71% 0.15 23.2% 1.34% 1.79%

-0.30% -1.55% 1.63% -0.25 15.6% 1.35% 1.75%

-0.32% -0.02% 1.62% 0.21 24.6% 1.34% 1.72%

0.79% 1.11% 1.54% 0.00 20.0% 1.38% 1.68%

-0.25% -1.04% 1.51% 0.04 20.9% 1.32% 1.66%

-2.49% -2.24% 1.47% -0.86 8.5% 1.37% 1.63%

-0.11% 2.38% 1.57% -0.91 8.0% 1.53% 1.61%

0.40% 0.51% 1.67% 0.13 22.8% 1.48% 1.60%

0.92% 0.51% 1.59% 0.17 23.8% 1.47% 1.59%

0.14% -0.77% 1.52% 0.14 23.1% 1.28% 1.58%

1.96% 1.81% 1.47% -0.46 12.7% 1.41% 1.56%

0.18% -1.77% 1.51% -0.41 13.2% 1.43% 1.55%

-0.38% -0.56% 1.54% 0.19 24.3% 1.44% 1.54%

1.47% 1.84% 1.47% -0.48 12.4% 1.52% 1.53%

0.35% -1.12% 1.52% 0.00 20.1% 1.52% 1.53%

0.47% 0.12% 1.48% 0.29 26.8% 1.32% 1.53%

1.51% 1.04% 1.41% 0.07 21.5% 1.15% 1.52%

0.40% -1.12% 1.38% 0.04 20.8% 1.21% 1.49%

-0.24% -0.64% 1.36% 0.27 26.2% 1.21% 1.47%

-1.20% -0.96% 1.32% 0.15 23.3% 1.22% 1.45%

0.91% 2.11% 1.29% -0.90 8.1% 1.27% 1.43%

1.28% 0.37% 1.40% 0.32 27.6% 1.14% 1.42%

0.10% -1.18% 1.34% 0.01 20.2% 1.19% 1.40%

-0.99% -1.09% 1.33% 0.07 21.4% 1.07% 1.38%

2.24% 3.23% 1.31% -2.62 1.5% 1.45% 1.36%

0.09% -2.15% 1.61% -0.68 10.2% 1.61% 1.37%

-0.16% -0.25% 1.67% 0.17 23.6% 1.57% 1.40%

-1.52% -1.37% 1.59% -0.14 17.3% 1.58% 1.42%

0.10% 1.62% 1.57% -0.29 14.9% 1.66% 1.44%

-1.41% -1.51% 1.58% -0.22 16.0% 1.71% 1.47%

0.18% 1.60% 1.57% -0.28 15.2% 1.65% 1.50%

-0.83% -1.01% 1.58% 0.03 20.6% 1.66% 1.51%

1.08% 1.90% 1.53% -0.51 12.0% 1.74% 1.53%

-0.97% -2.05% 1.58% -0.61 10.9% 1.82% 1.56%

Page 75: GARCH Example

-0.18% 0.80% 1.63% 0.08 21.7% 1.51% 1.59%

0.80% 0.98% 1.57% 0.05 20.9% 1.41% 1.59%

1.16% 0.36% 1.52% 0.24 25.5% 1.40% 1.57%

-0.81% -1.97% 1.45% -0.61 10.9% 1.48% 1.56%

1.90% 2.71% 1.52% -1.32 5.3% 1.62% 1.55%

0.34% -1.56% 1.67% -0.26 15.4% 1.63% 1.56%

-0.56% -0.90% 1.66% 0.04 20.7% 1.58% 1.57%

-1.35% -0.79% 1.61% 0.10 22.0% 1.57% 1.57%

0.95% 2.30% 1.55% -0.85 8.5% 1.62% 1.58%

0.57% -0.38% 1.64% 0.17 23.7% 1.48% 1.58%

-0.34% -0.92% 1.56% 0.07 21.5% 1.50% 1.57%

-0.63% -0.29% 1.51% 0.26 25.9% 1.46% 1.57%

-1.24% -0.61% 1.44% 0.24 25.3% 1.46% 1.56%

1.18% 2.42% 1.39% -1.17 6.2% 1.53% 1.55%

-1.46% -2.64% 1.52% -1.23 5.8% 1.49% 1.55%

0.95% 2.41% 1.67% -0.87 8.4% 1.64% 1.55%

0.05% -0.90% 1.76% 0.00 19.9% 1.64% 1.56%

-0.71% -0.76% 1.69% 0.06 21.3% 1.64% 1.57%

1.74% 2.45% 1.62% -0.93 7.9% 1.66% 1.58%

-0.22% -1.96% 1.72% -0.50 12.2% 1.76% 1.59%

-0.73% -0.51% 1.75% 0.09 21.9% 1.75% 1.61%

-0.18% 0.55% 1.67% 0.13 22.7% 1.76% 1.62%

0.29% 0.47% 1.59% 0.18 24.0% 1.74% 1.64%

-1.03% -1.31% 1.52% -0.10 18.1% 1.61% 1.65%

0.27% 1.30% 1.51% -0.09 18.3% 1.45% 1.65%

-1.77% -2.04% 1.49% -0.65 10.5% 1.37% 1.63%

0.17% 1.93% 1.55% -0.52 11.8% 1.50% 1.61%

0.73% 0.56% 1.60% 0.16 23.5% 1.48% 1.60%

0.36% -0.37% 1.53% 0.24 25.3% 1.27% 1.59%

0.31% -0.05% 1.46% 0.31 27.3% 1.12% 1.57%

1.00% 0.69% 1.39% 0.24 25.4% 1.12% 1.53%

-0.64% -1.63% 1.34% -0.35 14.2% 1.23% 1.50%

0.66% 1.30% 1.38% -0.07 18.6% 1.29% 1.48%

0.02% -0.64% 1.37% 0.26 26.0% 1.23% 1.46%

0.92% 0.90% 1.32% 0.18 23.9% 1.20% 1.44%

0.26% -0.65% 1.29% 0.31 27.1% 1.01% 1.42%

-0.20% -0.47% 1.25% 0.40 29.8% 0.84% 1.39%

0.30% 0.50% 1.20% 0.42 30.4% 0.84% 1.35%

-1.02% -1.31% 1.16% -0.10 18.1% 0.92% 1.32%

0.07% 1.08% 1.18% 0.10 22.2% 0.99% 1.29%

0.30% 0.24% 1.18% 0.50 33.1% 0.97% 1.27%

0.01% -0.30% 1.13% 0.53 34.0% 0.82% 1.25%

0.61% 0.60% 1.09% 0.45 31.5% 0.74% 1.22%

0.52% -0.09% 1.06% 0.63 37.5% 0.71% 1.19%

1.39% 0.87% 1.02% 0.31 27.2% 0.71% 1.16%

0.42% -0.97% 1.01% 0.22 24.9% 0.75% 1.13%

0.17% -0.25% 1.02% 0.64 38.0% 0.74% 1.11%

-0.64% -0.81% 0.98% 0.37 29.0% 0.76% 1.08%

1.00% 1.64% 0.98% -0.70 9.9% 0.80% 1.06%

-0.82% -1.82% 1.07% -0.83 8.7% 0.94% 1.05%

-1.20% -0.38% 1.18% 0.48 32.2% 0.94% 1.05%

Page 76: GARCH Example

0.54% 1.74% 1.13% -0.62 10.8% 1.09% 1.05%

0.22% -0.33% 1.21% 0.46 31.7% 1.08% 1.07%

-0.38% -0.59% 1.16% 0.41 30.1% 1.10% 1.08%

1.43% 1.80% 1.13% -0.71 9.8% 1.21% 1.09%

-0.33% -1.76% 1.22% -0.54 11.6% 1.29% 1.11%

1.33% 1.65% 1.29% -0.39 13.6% 1.39% 1.13%

-0.32% -1.64% 1.33% -0.36 14.0% 1.46% 1.17%

-1.30% -0.99% 1.37% 0.12 22.5% 1.38% 1.21%

0.61% 1.91% 1.34% -0.61 10.8% 1.41% 1.24%

-1.91% -2.52% 1.41% -1.24 5.8% 1.62% 1.26%

-0.61% 1.30% 1.56% -0.10 18.0% 1.57% 1.30%

-0.64% -0.03% 1.54% 0.26 25.9% 1.57% 1.34%

0.98% 1.62% 1.46% -0.30 14.8% 1.64% 1.37%

-1.05% -2.03% 1.48% -0.64 10.5% 1.65% 1.40%

2.23% 3.29% 1.55% -2.00 2.7% 1.87% 1.43%

0.20% -2.04% 1.80% -0.54 11.7% 1.92% 1.49%

0.94% 0.74% 1.82% 0.01 20.1% 1.86% 1.53%

0.44% -0.50% 1.74% 0.09 21.9% 1.84% 1.57%

0.47% 0.04% 1.66% 0.18 24.0% 1.75% 1.60%

-0.53% -1.00% 1.58% 0.03 20.7% 1.58% 1.62%

0.48% 1.01% 1.54% 0.05 21.0% 1.56% 1.62%

-0.06% -0.54% 1.49% 0.22 25.0% 1.57% 1.61%

0.70% 0.77% 1.43% 0.19 24.1% 1.51% 1.61%

0.40% -0.31% 1.38% 0.34 28.1% 1.36% 1.60%

-0.26% -0.65% 1.32% 0.29 26.7% 0.88% 1.58%

0.32% 0.58% 1.28% 0.34 28.2% 0.67% 1.53%

-1.02% -1.34% 1.23% -0.11 17.9% 0.74% 1.47%

0.52% 1.54% 1.25% -0.29 14.9% 0.89% 1.42%

0.13% -0.39% 1.29% 0.39 29.6% 0.90% 1.38%

-1.50% -1.63% 1.23% -0.39 13.5% 0.98% 1.34%

0.33% 1.83% 1.28% -0.57 11.3% 1.10% 1.32%

-0.47% -0.80% 1.35% 0.21 24.7% 1.11% 1.31%

0.22% 0.69% 1.31% 0.28 26.5% 1.11% 1.29%

1.52% 1.30% 1.27% -0.07 18.6% 1.17% 1.28%

0.13% -1.39% 1.28% -0.15 17.2% 1.24% 1.28%

-0.11% -0.24% 1.30% 0.41 30.2% 1.23% 1.28%

0.36% 0.47% 1.24% 0.40 29.9% 1.16% 1.28%

0.79% 0.43% 1.19% 0.45 31.3% 1.07% 1.28%

-0.54% -1.34% 1.15% -0.12 17.7% 1.14% 1.26%

-0.14% 0.41% 1.18% 0.47 32.0% 1.02% 1.26%

0.59% 0.73% 1.13% 0.36 28.6% 0.88% 1.24%

-0.46% -1.05% 1.11% 0.14 23.0% 0.90% 1.22%

-0.58% -0.12% 1.11% 0.58 35.7% 0.87% 1.20%

-0.05% 0.53% 1.06% 0.51 33.2% 0.78% 1.17%

1.14% 1.19% 1.03% -0.01 19.8% 0.75% 1.15%

-0.01% -1.15% 1.06% 0.04 20.8% 0.84% 1.13%

-0.76% -0.75% 1.08% 0.37 29.0% 0.85% 1.11%

-0.64% 0.12% 1.06% 0.63 37.4% 0.84% 1.10%

-0.91% -0.27% 1.02% 0.64 37.9% 0.74% 1.08%

0.80% 1.71% 0.98% -0.81 8.9% 0.90% 1.06%

-0.84% -1.64% 1.08% -0.54 11.6% 1.01% 1.06%

Page 77: GARCH Example

0.16% 1.00% 1.16% 0.17 23.7% 1.01% 1.06%

1.62% 1.47% 1.15% -0.26 15.4% 1.09% 1.07%

0.17% -1.45% 1.19% -0.22 16.0% 1.20% 1.08%

0.43% 0.26% 1.23% 0.46 31.7% 1.13% 1.10%

-0.02% -0.46% 1.18% 0.45 31.4% 1.09% 1.11%

1.13% 1.15% 1.13% 0.05 21.0% 1.11% 1.12%

-0.33% -1.45% 1.14% -0.25 15.6% 1.21% 1.13%

-0.18% 0.15% 1.19% 0.51 33.4% 1.21% 1.14%

0.47% 0.65% 1.13% 0.40 29.9% 1.10% 1.16%

-0.77% -1.24% 1.10% -0.04 19.3% 1.05% 1.16%

0.73% 1.50% 1.13% -0.32 14.5% 1.10% 1.16%

-0.85% -1.59% 1.18% -0.38 13.6% 1.09% 1.16%

-0.11% 0.75% 1.23% 0.30 27.0% 1.05% 1.16%

1.15% 1.25% 1.20% -0.04 19.2% 1.12% 1.16%

0.27% -0.87% 1.21% 0.24 25.4% 1.14% 1.16%

-0.57% -0.84% 1.19% 0.27 26.1% 1.10% 1.17%

0.66% 1.23% 1.17% -0.02 19.6% 1.09% 1.17%

0.13% -0.54% 1.18% 0.42 30.5% 1.10% 1.17%

1.18% 1.05% 1.14% 0.13 22.8% 1.13% 1.17%

-0.05% -1.23% 1.14% -0.02 19.6% 1.13% 1.18%

0.39% 0.44% 1.16% 0.47 32.1% 1.04% 1.18%

0.28% -0.11% 1.12% 0.58 35.6% 0.90% 1.17%

-0.18% -0.46% 1.07% 0.53 34.0% 0.89% 1.16%

0.17% 0.35% 1.03% 0.60 36.4% 0.80% 1.14%

1.24% 1.07% 1.00% 0.12 22.5% 0.82% 1.12%

0.01% -1.23% 1.02% -0.05 19.0% 0.87% 1.10%

0.21% 0.19% 1.05% 0.63 37.4% 0.78% 1.09%

-0.31% -0.51% 1.01% 0.55 34.7% 0.78% 1.07%

1.24% 1.55% 0.98% -0.54 11.7% 0.86% 1.06%

0.13% -1.11% 1.06% 0.08 21.7% 0.84% 1.05%

0.24% 0.11% 1.08% 0.61 36.9% 0.83% 1.04%

0.50% 0.26% 1.03% 0.63 37.5% 0.84% 1.03%

-0.89% -1.39% 0.99% -0.28 15.2% 0.93% 1.03%

0.48% 1.37% 1.05% -0.21 16.3% 1.02% 1.03%

-0.53% -1.01% 1.09% 0.17 23.8% 1.00% 1.04%

0.83% 1.36% 1.09% -0.17 16.8% 1.03% 1.04%

0.14% -0.69% 1.13% 0.38 29.2% 1.05% 1.05%

0.69% 0.55% 1.11% 0.47 31.9% 1.05% 1.06%

-0.09% -0.78% 1.07% 0.36 28.5% 0.96% 1.07%

0.78% 0.87% 1.06% 0.30 26.9% 0.94% 1.07%

-0.32% -1.10% 1.05% 0.10 22.0% 1.00% 1.07%

-0.21% 0.11% 1.06% 0.62 37.3% 1.00% 1.07%

1.21% 1.42% 1.02% -0.30 14.9% 0.98% 1.07%

-0.98% -2.19% 1.08% -1.45 4.7% 1.13% 1.08%

-1.36% -0.38% 1.24% 0.43 30.7% 1.10% 1.09%

0.50% 1.86% 1.19% -0.71 9.9% 1.17% 1.10%

-0.26% -0.76% 1.28% 0.27 26.1% 1.18% 1.12%

0.37% 0.63% 1.24% 0.35 28.3% 1.18% 1.13%

0.07% -0.30% 1.20% 0.48 32.2% 1.16% 1.14%

-0.84% -0.90% 1.15% 0.24 25.4% 1.15% 1.15%

0.18% 1.02% 1.14% 0.16 23.4% 1.15% 1.16%

Page 78: GARCH Example

1.26% 1.07% 1.14% 0.12 22.5% 1.19% 1.17%

-0.26% -1.51% 1.14% -0.32 14.5% 1.21% 1.18%

0.50% 0.76% 1.19% 0.31 27.4% 1.02% 1.19%

1.07% 0.56% 1.16% 0.42 30.6% 1.01% 1.18%

-0.49% -1.55% 1.12% -0.38 13.6% 0.98% 1.18%

-0.55% -0.06% 1.18% 0.52 33.7% 0.95% 1.17%

0.98% 1.52% 1.13% -0.34 14.2% 1.05% 1.15%

-0.45% -1.42% 1.18% -0.20 16.4% 1.14% 1.15%

-0.41% 0.03% 1.21% 0.50 32.8% 1.10% 1.16%

-0.26% 0.16% 1.16% 0.53 34.1% 1.05% 1.16%

-0.27% -0.02% 1.11% 0.59 35.9% 0.99% 1.16%

-0.17% 0.11% 1.06% 0.62 37.3% 0.88% 1.15%

0.40% 0.57% 1.02% 0.52 33.5% 0.86% 1.13%

0.11% -0.29% 1.00% 0.65 38.4% 0.84% 1.12%

0.00% -0.11% 0.96% 0.72 41.3% 0.69% 1.10%

0.96% 0.96% 0.92% 0.23 25.1% 0.74% 1.08%

-0.59% -1.56% 0.94% -0.62 10.8% 0.75% 1.06%

0.17% 0.76% 1.03% 0.39 29.5% 0.66% 1.04%

0.33% 0.17% 1.02% 0.66 38.7% 0.66% 1.02%

0.17% -0.16% 0.98% 0.70 40.3% 0.66% 1.00%

-0.84% -1.01% 0.94% 0.18 23.9% 0.73% 0.99%

-0.58% 0.26% 0.96% 0.70 40.1% 0.74% 0.98%

-1.46% -0.89% 0.93% 0.31 27.3% 0.75% 0.97%

-1.52% -0.06% 0.93% 0.76 42.6% 0.75% 0.96%

1.25% 2.77% 0.90% -3.93 0.4% 1.16% 0.95%

-1.43% -2.68% 1.23% -1.90 3.0% 1.39% 0.99%

0.56% 2.00% 1.44% -0.63 10.6% 1.46% 1.04%

1.17% 0.61% 1.51% 0.20 24.3% 1.45% 1.08%

-0.13% -1.30% 1.45% -0.08 18.4% 1.51% 1.13%

-1.12% -0.99% 1.44% 0.09 21.9% 1.54% 1.17%

-1.30% -0.18% 1.41% 0.34 28.2% 1.51% 1.22%

-0.13% 1.16% 1.34% 0.02 20.4% 1.55% 1.26%

-0.24% -0.11% 1.33% 0.40 29.9% 1.52% 1.30%

1.64% 1.88% 1.27% -0.64 10.5% 1.61% 1.33%

-0.10% -1.74% 1.34% -0.44 12.9% 1.48% 1.38%

1.30% 1.40% 1.39% -0.15 17.3% 1.27% 1.39%

0.40% -0.90% 1.40% 0.15 23.2% 1.17% 1.39%

-0.07% -0.47% 1.36% 0.32 27.6% 1.16% 1.37%

0.53% 0.60% 1.31% 0.32 27.5% 1.11% 1.36%

0.85% 0.32% 1.26% 0.43 30.7% 1.05% 1.34%

0.77% -0.08% 1.21% 0.50 33.0% 1.05% 1.32%

-0.21% -0.98% 1.15% 0.19 24.2% 1.05% 1.30%

-0.66% -0.46% 1.14% 0.48 32.2% 1.06% 1.28%

-0.11% 0.56% 1.10% 0.46 31.8% 0.88% 1.27%

0.52% 0.62% 1.07% 0.45 31.4% 0.73% 1.24%

-1.38% -1.89% 1.05% -0.99 7.4% 0.79% 1.20%

-0.11% 1.26% 1.17% -0.05 19.0% 0.88% 1.18%

0.06% 0.17% 1.18% 0.51 33.4% 0.87% 1.16%

0.51% 0.45% 1.13% 0.49 32.5% 0.86% 1.15%

0.11% -0.40% 1.09% 0.53 34.1% 0.86% 1.13%

-1.56% -1.66% 1.05% -0.61 10.9% 0.98% 1.11%

Page 79: GARCH Example

0.53% 2.09% 1.14% -1.12 6.5% 1.16% 1.11%

1.41% 0.88% 1.27% 0.21 24.7% 1.17% 1.13%

0.06% -1.35% 1.24% -0.12 17.8% 1.25% 1.14%

-0.44% -0.50% 1.26% 0.38 29.2% 1.24% 1.16%

0.23% 0.67% 1.21% 0.34 28.2% 1.10% 1.18%

-1.38% -1.61% 1.18% -0.40 13.4% 1.15% 1.18%

-0.76% 0.62% 1.23% 0.35 28.5% 1.17% 1.18%

-0.59% 0.17% 1.19% 0.50 33.1% 1.16% 1.19%

0.92% 1.51% 1.14% -0.32 14.5% 1.25% 1.19%

0.18% -0.74% 1.19% 0.32 27.7% 1.15% 1.21%

0.18% -0.01% 1.16% 0.54 34.3% 0.95% 1.21%

-0.67% -0.85% 1.11% 0.29 26.8% 0.93% 1.19%

-1.37% -0.70% 1.10% 0.39 29.7% 0.87% 1.18%

-1.05% 0.32% 1.07% 0.58 35.6% 0.87% 1.16%

0.77% 1.82% 1.03% -0.89 8.2% 1.02% 1.14%

0.17% -0.60% 1.14% 0.42 30.4% 0.89% 1.14%

-0.08% -0.24% 1.11% 0.56 35.1% 0.89% 1.13%

-0.07% 0.01% 1.07% 0.63 37.4% 0.89% 1.11%

-1.06% -0.99% 1.02% 0.20 24.4% 0.79% 1.10%

0.68% 1.74% 1.03% -0.77 9.3% 0.95% 1.09%

-0.26% -0.94% 1.13% 0.22 25.0% 1.00% 1.08%

0.05% 0.30% 1.12% 0.54 34.3% 0.96% 1.08%

0.40% 0.35% 1.08% 0.56 35.1% 0.93% 1.08%

0.17% -0.23% 1.04% 0.63 37.5% 0.94% 1.08%

1.61% 1.44% 1.00% -0.35 14.1% 0.87% 1.07%

0.17% -1.44% 1.06% -0.29 14.9% 0.97% 1.07%

0.57% 0.40% 1.11% 0.52 33.6% 0.97% 1.07%

-0.05% -0.62% 1.07% 0.45 31.4% 0.99% 1.07%

0.05% 0.10% 1.05% 0.64 38.0% 0.94% 1.07%

0.34% 0.29% 1.00% 0.64 38.1% 0.77% 1.07%

-0.74% -1.08% 0.97% 0.10 22.1% 0.79% 1.05%

0.52% 1.27% 0.99% -0.12 17.8% 0.88% 1.04%

1.60% 1.07% 1.03% 0.12 22.5% 0.93% 1.03%

0.15% -1.44% 1.05% -0.30 14.7% 1.04% 1.03%

-0.95% -1.10% 1.10% 0.09 21.9% 0.96% 1.04%

0.45% 1.40% 1.11% -0.21 16.1% 0.99% 1.05%

-0.98% -1.44% 1.15% -0.23 15.9% 1.07% 1.05%

0.60% 1.58% 1.19% -0.37 13.9% 1.18% 1.06%

0.14% -0.46% 1.24% 0.41 30.0% 1.19% 1.08%

-0.13% -0.27% 1.19% 0.49 32.6% 1.18% 1.10%

0.26% 0.40% 1.14% 0.50 32.9% 1.14% 1.12%

-0.42% -0.68% 1.10% 0.40 30.0% 1.09% 1.13%

0.36% 0.78% 1.08% 0.36 28.5% 1.06% 1.14%

0.85% 0.49% 1.06% 0.53 33.9% 0.97% 1.14%

-0.30% -1.15% 1.03% 0.04 20.8% 0.98% 1.13%

-0.55% -0.25% 1.05% 0.61 37.0% 0.87% 1.12%

-0.10% 0.45% 1.01% 0.58 35.8% 0.76% 1.11%

0.25% 0.35% 0.98% 0.65 38.2% 0.59% 1.09%

0.41% 0.16% 0.95% 0.73 41.5% 0.57% 1.06%

-1.04% -1.45% 0.91% -0.48 12.4% 0.72% 1.03%

-0.32% 0.73% 0.99% 0.43 30.7% 0.75% 1.02%

Page 80: GARCH Example

-0.81% -0.50% 0.98% 0.58 35.7% 0.74% 1.00%

0.19% 1.00% 0.96% 0.18 24.0% 0.77% 0.99%

-0.82% -1.01% 0.97% 0.17 23.8% 0.80% 0.98%

0.33% 1.16% 0.99% 0.02 20.3% 0.81% 0.98%

0.14% -0.20% 1.02% 0.66 38.6% 0.81% 0.98%

0.07% -0.07% 0.98% 0.71 40.7% 0.80% 0.97%

-0.33% -0.40% 0.94% 0.66 38.8% 0.80% 0.97%

-0.43% -0.10% 0.91% 0.77 43.4% 0.80% 0.96%

-0.48% -0.05% 0.88% 0.82 45.2% 0.66% 0.96%

-0.04% 0.43% 0.85% 0.72 41.2% 0.63% 0.95%

0.71% 0.75% 0.83% 0.47 31.9% 0.64% 0.93%

-1.33% -2.04% 0.84% -2.08 2.5% 0.85% 0.92%

0.27% 1.60% 1.04% -0.55 11.6% 0.94% 0.93%

-0.97% -1.24% 1.11% -0.04 19.3% 0.95% 0.94%

-0.20% 0.77% 1.13% 0.33 27.9% 0.99% 0.95%

0.99% 1.19% 1.11% 0.01 20.3% 1.05% 0.97%

0.05% -0.94% 1.13% 0.22 25.0% 1.09% 0.98%

0.46% 0.40% 1.12% 0.51 33.4% 1.10% 1.01%

0.12% -0.34% 1.08% 0.56 35.2% 1.10% 1.03%

0.44% 0.33% 1.04% 0.60 36.5% 1.10% 1.04%

-0.63% -1.07% 1.00% 0.12 22.5% 1.12% 1.06%

-0.10% 0.53% 1.02% 0.54 34.2% 0.93% 1.08%

-1.63% -1.54% 0.99% -0.50 12.2% 0.91% 1.07%

-1.55% 0.08% 1.07% 0.62 37.2% 0.84% 1.07%

0.12% 1.67% 1.03% -0.65 10.4% 0.96% 1.06%

1.30% 1.18% 1.11% 0.02 20.4% 0.96% 1.06%

-0.30% -1.60% 1.13% -0.43 13.0% 1.04% 1.06%

-1.17% -0.87% 1.19% 0.25 25.7% 1.06% 1.07%

0.15% 1.32% 1.17% -0.10 18.1% 1.14% 1.08%

1.37% 1.22% 1.19% -0.01 19.9% 1.20% 1.09%

0.22% -1.15% 1.20% 0.05 21.1% 1.21% 1.11%

1.24% 1.02% 1.20% 0.14 23.1% 1.23% 1.13%

-0.36% -1.60% 1.19% -0.39 13.6% 1.24% 1.15%

0.65% 1.01% 1.25% 0.14 23.0% 1.27% 1.17%

-0.24% -0.90% 1.23% 0.22 24.9% 1.21% 1.19%

0.05% 0.29% 1.21% 0.47 32.0% 1.15% 1.20%

0.80% 0.75% 1.16% 0.33 27.9% 1.06% 1.20%

0.01% -0.79% 1.13% 0.32 27.6% 1.05% 1.20%

0.24% 0.23% 1.11% 0.56 35.1% 0.98% 1.19%

-0.78% -1.02% 1.07% 0.17 23.7% 0.93% 1.18%

0.46% 1.24% 1.07% -0.05 19.0% 0.97% 1.16%

0.15% -0.31% 1.10% 0.56 34.8% 0.91% 1.15%

1.12% 0.97% 1.06% 0.21 24.8% 0.81% 1.14%

-0.42% -1.54% 1.06% -0.42 13.1% 0.89% 1.12%

0.69% 1.11% 1.12% 0.09 21.8% 0.92% 1.11%

-0.45% -1.14% 1.13% 0.06 21.3% 0.99% 1.10%

0.19% 0.64% 1.14% 0.40 29.9% 0.98% 1.10%

0.50% 0.31% 1.11% 0.55 34.6% 0.95% 1.10%

0.17% -0.33% 1.07% 0.58 35.7% 0.95% 1.09%

0.22% 0.05% 1.03% 0.66 38.8% 0.89% 1.09%

-0.71% -0.93% 0.99% 0.26 26.0% 0.85% 1.08%

Page 81: GARCH Example

0.28% 0.98% 0.99% 0.21 24.6% 0.91% 1.07%

0.45% 0.17% 1.00% 0.67 39.3% 0.86% 1.06%

-0.56% -1.01% 0.96% 0.18 23.8% 0.78% 1.05%

0.63% 1.20% 0.98% -0.03 19.3% 0.79% 1.04%

-1.39% -2.03% 1.01% -1.32 5.3% 0.95% 1.03%

-0.47% 0.93% 1.16% 0.22 25.0% 0.97% 1.03%

0.16% 0.62% 1.15% 0.40 29.9% 0.99% 1.03%

-0.59% -0.75% 1.12% 0.35 28.5% 1.01% 1.04%

0.59% 1.19% 1.09% 0.01 20.3% 1.08% 1.05%

0.43% -0.17% 1.11% 0.57 35.5% 1.03% 1.06%

-0.02% -0.45% 1.07% 0.54 34.3% 1.00% 1.07%

1.52% 1.54% 1.03% -0.45 12.7% 1.11% 1.07%

0.32% -1.19% 1.10% 0.01 20.1% 1.13% 1.08%

-0.06% -0.39% 1.12% 0.52 33.6% 1.07% 1.10%

0.67% 0.73% 1.08% 0.39 29.5% 0.87% 1.10%

-1.00% -1.67% 1.06% -0.60 10.9% 0.99% 1.09%

-0.75% 0.25% 1.14% 0.53 34.1% 0.97% 1.09%

0.20% 0.95% 1.10% 0.22 24.9% 0.99% 1.09%

-0.23% -0.43% 1.09% 0.53 33.9% 0.92% 1.09%

-0.73% -0.50% 1.05% 0.52 33.8% 0.93% 1.08%

-0.93% -0.20% 1.02% 0.65 38.3% 0.93% 1.08%

0.45% 1.38% 0.98% -0.27 15.3% 0.90% 1.07%

0.53% 0.08% 1.04% 0.65 38.3% 0.82% 1.07%

-0.97% -1.49% 1.00% -0.43 13.0% 0.94% 1.06%

0.04% 1.01% 1.07% 0.18 23.9% 0.97% 1.05%

0.26% 0.22% 1.07% 0.60 36.5% 0.80% 1.06%

-0.97% -1.23% 1.03% -0.05 19.0% 0.90% 1.04%

-0.09% 0.89% 1.06% 0.28 26.5% 0.89% 1.04%

1.49% 1.57% 1.05% -0.48 12.4% 1.00% 1.04%

1.29% -0.20% 1.12% 0.56 34.9% 0.98% 1.04%

0.18% -1.11% 1.08% 0.09 21.8% 1.05% 1.05%

0.24% 0.06% 1.09% 0.60 36.5% 0.97% 1.06%

0.03% -0.22% 1.04% 0.63 37.4% 0.97% 1.06%

0.00% -0.02% 1.00% 0.69 39.7% 0.84% 1.06%

1.12% 1.11% 0.96% 0.06 21.2% 0.85% 1.05%

1.62% 0.50% 0.99% 0.57 35.5% 0.86% 1.04%

0.39% -1.23% 0.97% -0.08 18.4% 0.86% 1.04%

-0.11% -0.50% 1.01% 0.56 35.1% 0.84% 1.03%

-0.07% 0.04% 0.98% 0.71 40.8% 0.66% 1.02%

-0.10% -0.03% 0.94% 0.75 42.4% 0.66% 1.01%

0.91% 1.01% 0.91% 0.17 23.7% 0.65% 0.99%

0.91% 0.00% 0.93% 0.76 43.0% 0.65% 0.97%

-0.03% -0.94% 0.89% 0.25 25.6% 0.72% 0.96%

-0.71% -0.68% 0.91% 0.51 33.2% 0.75% 0.95%

0.55% 1.26% 0.90% -0.18 16.7% 0.77% 0.94%

0.14% -0.42% 0.96% 0.64 37.9% 0.75% 0.94%

-1.12% -1.25% 0.93% -0.14 17.3% 0.76% 0.94%

0.59% 1.71% 0.98% -0.81 8.9% 0.93% 0.93%

-0.03% -0.62% 1.08% 0.45 31.4% 0.95% 0.94%

0.41% 0.44% 1.06% 0.55 34.7% 0.96% 0.96%

0.08% -0.33% 1.02% 0.62 37.0% 0.91% 0.97%

Page 82: GARCH Example

-0.34% -0.42% 0.99% 0.61 37.0% 0.91% 0.97%

-0.40% -0.06% 0.96% 0.73 41.6% 0.87% 0.98%

1.50% 1.90% 0.92% -1.35 5.2% 1.01% 0.98%

-0.09% -1.58% 1.07% -0.47 12.5% 1.08% 1.00%

0.07% 0.16% 1.14% 0.55 34.7% 1.07% 1.01%

-0.08% -0.15% 1.09% 0.59 36.3% 0.99% 1.03%

-1.11% -1.03% 1.05% 0.16 23.5% 0.88% 1.04%

0.49% 1.59% 1.05% -0.51 12.0% 1.01% 1.03%

0.54% 0.06% 1.13% 0.57 35.3% 1.00% 1.04%

-0.10% -0.65% 1.08% 0.43 30.9% 1.02% 1.05%

0.90% 1.00% 1.05% 0.18 24.1% 1.05% 1.05%

0.39% -0.51% 1.06% 0.52 33.6% 1.07% 1.06%

0.19% -0.20% 1.03% 0.64 38.1% 0.88% 1.07%

-0.21% -0.40% 0.99% 0.62 37.2% 0.74% 1.07%

-0.75% -0.54% 0.96% 0.57 35.5% 0.76% 1.05%

0.04% 0.79% 0.94% 0.40 29.9% 0.80% 1.03%

0.90% 0.87% 0.94% 0.33 27.8% 0.75% 1.02%

0.34% -0.56% 0.94% 0.57 35.5% 0.62% 1.01%

0.05% -0.30% 0.92% 0.72 41.1% 0.63% 0.99%

-0.43% -0.48% 0.89% 0.66 38.7% 0.61% 0.97%

0.72% 1.15% 0.88% -0.03 19.3% 0.64% 0.95%

-0.01% -0.72% 0.92% 0.47 31.9% 0.66% 0.94%

0.01% 0.02% 0.91% 0.78 43.6% 0.65% 0.93%

-0.13% -0.14% 0.88% 0.80 44.7% 0.64% 0.92%

-0.81% -0.68% 0.85% 0.53 34.1% 0.66% 0.91%

-1.17% -0.36% 0.85% 0.77 43.0% 0.61% 0.90%

-0.36% 0.80% 0.83% 0.41 30.1% 0.60% 0.89%

0.35% 0.71% 0.84% 0.50 33.1% 0.63% 0.88%

-0.14% -0.49% 0.84% 0.69 39.8% 0.64% 0.87%

0.34% 0.49% 0.83% 0.70 40.5% 0.63% 0.86%

-0.61% -0.95% 0.82% 0.21 24.8% 0.59% 0.86%

0.40% 1.01% 0.85% 0.15 23.2% 0.64% 0.85%

-0.86% -1.26% 0.88% -0.21 16.2% 0.75% 0.85%

Page 83: GARCH Example
Page 84: GARCH Example

Max = 0.95 19%

2013

SUM[log(L)] vs (a1,b1) for a0 = 0.000004 Average Probability = 19%

FREQ

0

0.0725 0.075 0.0775 0.08 0.0825 0.085 0.0875 0.09 29

30

-911.9529064 -888.52085934 -867.0446035 -847.3517562 -829.2887059 -812.7181532 -797.5170283 -783.5747183 20

27

-839.8115743 -820.73996274 -803.3994632 -787.6349862 -773.3084542 -760.2965631 -748.4888887 -737.7862741 32

38

-778.1080262 -763.38008636 -750.1585285 -738.3056093 -727.6988286 -718.2289146 -709.7981181 -702.3187636 40

53

-728.6036235 -718.20436882 -709.0866218 -701.1300448 -694.2277655 -688.2845858 -683.2154675 -678.9442457 49

65

-693.7065567 -687.62286296 -682.5955396 -678.5217242 -675.3102313 -672.8799871 -671.1587068 -670.0817725 76

79

-676.8211564 -675.04166667 -674.0930062 -673.8898716 -674.3568354 -675.4270092 -677.0409138 -679.1455231 74

90

-682.9657204 -685.4805767 -688.6001644 -692.2568393 -696.3910189 -700.9500738 -705.8873949 -711.1616026 73

73

-719.9481126 -726.74883159 -733.9274656 -741.4341503 -749.2252513 -757.2624882 -765.512198 -773.9447146 74

82

-800.8399944 -811.92053293 -823.1512414 -834.50018 -845.9397871 -857.4462379 -868.9989088 -880.5799268 80

76

80

88

65

87

60

54

46

34

41

45

36

30

27

27

29

22

14

21

15

7

5

5

4

Page 85: GARCH Example

3

2

2

1

1

0

0

1

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

Page 86: GARCH Example

0

0

0

0

0

0

1

Page 87: GARCH Example

1

Page 88: GARCH Example

1%

Average Probability = 19% Jun 9/99 - Nov 1/99

bins 2.23% 1.91% 9-Jun-99

0% 2.00% 1.94% 10-Jun-99

1% 1.72% 1.95% 11-Jun-99

2% 1.37% 1.93% 14-Jun-99

3% 1.20% 1.88% 15-Jun-99

4% 1.28% 1.82% 16-Jun-99

5% 1.38% 1.77% 17-Jun-99

6% 1.26% 1.74% 18-Jun-99

7% 1.16% 1.70% 21-Jun-99

8% 1.11% 1.65% 22-Jun-99

9% 1.04% 1.61% 23-Jun-99

10% 1.02% 1.56% 24-Jun-99

11% 1.08% 1.52% 25-Jun-99

12% 1.12% 1.49% 28-Jun-99

13% 1.12% 1.46% 29-Jun-99

14% 0.98% 1.43% 30-Jun-99

15% 0.91% 1.40% 1-Jul-99

16% 0.90% 1.36% 2-Jul-99

17% 0.94% 1.33% 6-Jul-99

18% 0.85% 1.30% 7-Jul-99

19% 0.86% 1.27% 8-Jul-99

20% 0.80% 1.24% 9-Jul-99

21% 0.78% 1.21% 12-Jul-99

22% 0.65% 1.18% 13-Jul-99

23% 0.69% 1.15% 14-Jul-99

24% 0.71% 1.12% 15-Jul-99

25% 0.65% 1.10% 16-Jul-99

26% 0.78% 1.07% 19-Jul-99

27% 0.83% 1.06% 20-Jul-99

28% 1.10% 1.05% 21-Jul-99

29% 1.17% 1.06% 22-Jul-99

30% 1.19% 1.08% 23-Jul-99

31% 1.17% 1.10% 26-Jul-99

32% 1.29% 1.11% 27-Jul-99

33% 1.31% 1.14% 28-Jul-99

34% 1.42% 1.16% 29-Jul-99

35% 1.46% 1.20% 30-Jul-99

36% 1.42% 1.24% 2-Aug-99

37% 1.35% 1.27% 3-Aug-99

38% 1.16% 1.28% 4-Aug-99

39% 1.22% 1.28% 5-Aug-99

40% 1.30% 1.28% 6-Aug-99

41% 1.32% 1.29% 9-Aug-99

42% 1.22% 1.30% 10-Aug-99

43% 1.50% 1.30% 11-Aug-99

Page 89: GARCH Example

44% 1.49% 1.32% 12-Aug-99

45% 1.65% 1.34% 13-Aug-99

46% 1.78% 1.38% 16-Aug-99

47% 1.78% 1.42% 17-Aug-99

48% 1.86% 1.47% 18-Aug-99

49% 1.76% 1.51% 19-Aug-99

50% 1.75% 1.54% 20-Aug-99

51% 1.75% 1.57% 23-Aug-99

52% 1.79% 1.59% 24-Aug-99

53% 1.59% 1.62% 25-Aug-99

54% 1.71% 1.62% 26-Aug-99

55% 1.48% 1.63% 27-Aug-99

56% 1.38% 1.62% 30-Aug-99

57% 1.45% 1.60% 31-Aug-99

58% 1.37% 1.59% 1-Sep-99

59% 1.48% 1.57% 2-Sep-99

60% 1.82% 1.56% 3-Sep-99

61% 2.09% 1.59% 7-Sep-99

62% 2.05% 1.64% 8-Sep-99

63% 2.03% 1.68% 9-Sep-99

64% 1.82% 1.72% 10-Sep-99

65% 1.85% 1.73% 13-Sep-99

66% 1.83% 1.74% 14-Sep-99

67% 1.78% 1.75% 15-Sep-99

68% 1.80% 1.75% 16-Sep-99

69% 1.76% 1.76% 17-Sep-99

70% 1.33% 1.76% 20-Sep-99

71% 1.06% 1.72% 21-Sep-99

72% 1.30% 1.67% 22-Sep-99

73% 1.48% 1.64% 23-Sep-99

74% 1.64% 1.63% 24-Sep-99

75% 1.63% 1.63% 27-Sep-99

76% 1.64% 1.63% 28-Sep-99

77% 1.65% 1.63% 29-Sep-99

78% 1.74% 1.64% 30-Sep-99

79% 1.73% 1.65% 1-Oct-99

80% 1.76% 1.66% 4-Oct-99

81% 1.74% 1.67% 5-Oct-99

82% 1.71% 1.68% 6-Oct-99

83% 1.70% 1.68% 7-Oct-99

84% 1.69% 1.69% 8-Oct-99

85% 1.74% 1.69% 11-Oct-99

86% 1.80% 1.69% 12-Oct-99

87% 1.78% 1.71% 13-Oct-99

88% 1.75% 1.71% 14-Oct-99

89% 1.89% 1.72% 15-Oct-99

90% 2.11% 1.74% 18-Oct-99

91% 2.02% 1.78% 19-Oct-99

92% 1.98% 1.80% 20-Oct-99

93% 2.01% 1.82% 21-Oct-99

94% 2.00% 1.84% 22-Oct-99

Page 90: GARCH Example

95% 2.05% 1.85% 25-Oct-99

96% 1.99% 1.87% 26-Oct-99

97% 2.06% 1.88% 27-Oct-99

98% 2.10% 1.90% 28-Oct-99

99% 2.02% 1.93% 29-Oct-99

100% 1.90% 1.94% 1-Nov-99