Suppose that the parameters in a GARCH (1,1) model are α=0.03, β=0.95, and ω=0.000002 (a) What is the long-run average volatility? (b) If the current volatility is 1.5 % per day, what is your estimate of the volatility in 20 , 40 , and 60 days? (c) What volatility should be used to price 20-, 40-, and 60 -day options? (d) Suppose that there is an event that increases the current volatility by 0.5 % to 2 % per day. Estimate the effect on the volatility in 20,40 , and 60 days. (e) Estimate by how
Suppose that the parameters in a GARCH (1,1) model are α=0.03, β=0.95, and ω=0.00…
Jul 9, 2021
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the parameters of a garch11 model are estimated as omega0000004 alpha005 and beta092 what is the l 2 94572
the parameters of a garch11 model are estimated as omega0000004 alpha005 and …
Oct 17, 2021
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The parameters of a GARCH(1, 1) model are estimated as ω=0.000004, α=0.05, and β=0.92 What is the long-run average volatility and what is the equation describing the way that the variance rate reverts to its long-run average? If the current volatility is 20 % per year, what is the expected volatility in 20 days? | Numerade
The parameters of a GARCH(1, 1) model are estimated as ω=0.000004, α=0.05, and β=0.…
May 12, 2020
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