Message-ID: <2064784.1075856309294.JavaMail.evans@thyme>
Date: Tue, 25 Jul 2000 08:06:00 -0700 (PDT)
From: anjam.ahmad@enron.com
To: tanya.tamarchenko@enron.com, kirstee.hewitt@enron.com
Subject: Fwd Fwd Volatility for Metals VaR
Cc: grant.masson@enron.com, vince.kaminski@enron.com
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
Bcc: grant.masson@enron.com, vince.kaminski@enron.com
X-From: Anjam Ahmad
X-To: Tanya Tamarchenko, Kirstee Hewitt
X-cc: Grant Masson, Vince J Kaminski
X-bcc: 
X-Folder: \Vincent_Kaminski_Jun2001_1\Notes Folders\All documents
X-Origin: Kaminski-V
X-FileName: vkamins.nsf

Hi Tanya,

I think using the 60 business day fwd fwd vols based on historical data is 
reasonable, to ensure consistency with the amount of data we use to estimate 
the eigenvalues.  I am just finishing the correlations study.

Regards,

Anjam
x35383


ZINC:

LEAD:

ALUMINUM H:

ALUMINUM S:

TIN:

COPPER:

NICKEL: