Parameters

Methods

Estimation

Volatility

Bootstrap (Past 126 Days)

13.36%

ARMA(1,1)-GARCH(1,1)

17.27%

Adjusted VIX

17.86%

Skewness

Bootstrap (Past 126 Days)

−0.094

ARMA(1,1)-GARCH(1,1)

−0.046

Adjusted VIX

−0.094

Risk free rate (RF)

3-months T-bill Rate

0.09%

Dividend yield (d)

Market S & P 500 Dividend Yield

2.20%

Transaction cost (k)

Personal estimation

0.30%