Using GARCH (1,1) Approach to Estimate Volatility
Using GARCH (1,1) Approach to Estimate Volatility
15 Noll 2021
financetrain.com
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.…
11 DFómh 2022
numerade.com
Volatility: Meaning in Finance and How It Works With Stocks
Volatility: Meaning in Finance and How It Works With Stocks
7 months ago
investopedia.com
Which of the following four statements on models for estimating volatility is incorrect? 1. In the EWMA model, some positive weight is assigned to the long-run average variance rate. 2. In the EWMA model, the weights assigned to observations decrease exponentially as the observations become older. 3. In the GARCH(1,1) model, a positive weight is estimated for the long-run average variance rate. 4. In the GARCH(1,1) model, the weights estimated for observations decrease exponentially as the obser
Which of the following four statements on models for estimating volatility is …
30 Ean 2024
numerade.com
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