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% |