Table 2 Sector returns and volatilities.... | Emerald Publishing

Table 2

Sector returns and volatilities.

		Scenario
	Parameter	Pre-Decline	Pre-COVID	Post-COVID
Green	Return $μ_{g}$	0.180	0.157	0.305
	Volatility $σ_{g}$	0.169	0.128	0.165
	Price $p_{g}$	0.366	0.319	0.620
	Volatility $σ_{K g}$	0.462	0.401	0.267
	Return $μ_{d}$	0.186	0.142	0.375
Dirty	Volatility $σ_{d}$	0.223	0.161	0.211
	Price $p_{d}$	0.218	0.155	0.346
	Volatility $σ_{K d}$	1.483	1.407	0.700
Correlation $ρ$		0.922	0.855	0.813

		Scenario
	Parameter	Pre-Decline	Pre-COVID	Post-COVID
Green	Return $μ_{g}$	0.180	0.157	0.305
	Volatility $σ_{g}$	0.169	0.128	0.165
	Price $p_{g}$	0.366	0.319	0.620
	Volatility $σ_{K g}$	0.462	0.401	0.267
	Return $μ_{d}$	0.186	0.142	0.375
Dirty	Volatility $σ_{d}$	0.223	0.161	0.211
	Price $p_{d}$	0.218	0.155	0.346
	Volatility $σ_{K d}$	1.483	1.407	0.700
Correlation $ρ$		0.922	0.855	0.813