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?
The parameters of a GARCH(1,1) model are estimated as ω=0.00000…
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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=…
Jul 1, 2021
numerade.com
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=0.00000…
Feb 16, 2022
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