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Suppose that GARCH(1,1) parameters have been estimated as ? = 0.000003, ? = 0.04, and ? = 0.94. The current daily volatility is estimated to be 1%. Estimate the daily volatility in 30 days.

Suppose that GARCH(1,1) parameters have been estimated a…

2021年10月19日

How to Forecast Volatility Using GARCH (1,1) - Finance Train

How to Forecast Volatility Using GARCH (1,1) - Finance Train

2019年2月14日

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SOLVED:Suppose that the price of gold at close of trading yesterday… | Numerade

SOLVED:Suppose that the price of gold at close of trading yesterday…

2020年5月12日

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Assume that S&P 500 at close of trading yesterday was 1,040 and the daily volatility of the index was estimated as 1 % per day at that time. The parameters in a GARCH(1, 1) model are ω=0,000002, α=0.06, and β=0.92 . If the level of the index at close of trading today is 1.060 . what is the new volatility estimate? | Numerade

Assume that S&P 500 at close of trading yesterday was 1,040 and t…

2020年5月12日

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=…

2021年7月9日

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. (c) Estimate by ho

Suppose that the parameters in a GARCH (1,1) model are α=0.03, β=…

2021年7月1日

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