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Ron,this Metastock version of the probability cones does not include an
interest rate parameter. What it does permit you to do is create a cone
based on the VIX which as you know is derived from OEX options. Of course
everyday brings new expectations and thus a new cone. Some grid lines have
been placed on an expanded cone starting from Wednesday's close for you to
make comparison with your technique. The interesting thing, but not
surprising thing is the VIX cone contained prices much better than the
historical lookback cone. A .gif will be emailed to your aol address if
you still have it.
BobR
At 03:39 PM 1/1/98 EST, Ronald McEwan wrote:
>Bob does your model for the probability cones incorporate an interest
>rate parameter? I have listed the results of my own probability cone
>projections for the next five days below. They contain the 5% to 95%
>confidence ranges. My juno email could not read your .gif so I was not
>able to compare your results with the ones I obtained. My model uses
>monte carlo simulation to generate its results.
>
>Happy New Year
>Ron McEwan
>
> 5% mean 95%
>12/31/97 459.94 459.94 459.94
>1/2/98 449.45 460.72 472.79
>1/5/98 443.75 460.89 477.66
>1/6/98 440.17 461.68 482.77
>1/7/98 439.21 462.50 486.61
>1/8/98 438.28 463.05 491.53
>
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