I have written the shell of a MATLAB script to get you started on the fall assignment.

Here is the code for today's MLE case.

Please remember to read the paper before our next session on 10/12:

*Measuring and Testing the Impact of News on Volatility*, Robert F. Engle and Victor K. Ng, **The Journal of Finance**, Vol. 48, No. 5 (Dec., 1993) (pp. 1749-1778).

I have posted the discussion of the "sqrt-rule" for scaling invariants.

I have also updated the syllabus to indicate Nick's new office hours 7-8:30 on Mondays.

Below is more general Pareto characterization of the left tail of a random variable.

Two of the new parameters come from the affine transformation (shift and scale), while the theta represents the parameter of the Bernoulli mixing variable.

I posted my discussion notes from out case about conditional expectation, including the observation about the connection with OLS regression.

I will use this forum for annoncements, and you are welcome to use it for public feedback. I encourage you to check it often. You may want to add it to your RSS feed.

Thanks for your project submissions. I have posted a version of my solution on the class website if you are interested.

Welcome back from the break! I am your instructor for the first six weeks of FM5032. I will be in town for our first formal session on Sunday, January 23; but I would like to hold a UMConnect session at 5:30 PM on Wenesday, January 19 to discuss the final and provide a preview for the second half. Our TA will host this session in ~~MechE018~~ **Physics (Tate) 131** if you would like to attend in person.

The final for FM5031 will be on Wednesday, December 22. I will be holding a review session for my module on Sunday, December 12, at 2:00 PM in Ford Hall B10. The final is worth 25% of my module's grade.

I discovered a typo in the notes on GARCH from last week. In the expression for the unconditional variance, the γ should be γ^{2}. The difference should not affect your homework results too much; but if you have time to re-do it with a more correct expression for ω, please do so.

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