Suppose that a GARCH(1,1) model is estimated from daily data as (^2)n = 0.000005 + 0.17u^2 n1

Suppose that a GARCH(1,1) model is estimated from daily data as (σ^2)n = 0.000005 + 0.17u^2 n−1 + 0.95σ^2 n−1 and that on day n − 1 the market variable decreased by 2%  Suppose that the estimate of the volatility on day n − 1 is 2.15% per day

 calculate a new estimate of the volatility.

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To calculate the new estimate of volatility using the GARCH11 model we need to plug in the given ... View the full answer