A company uses the GARCH(1,1) model for updating volatility The three parameters are , , and Describe the impact of making a small increase in each of the parameters while keeping the others fixed ...

The weight given to the longrun average variance rate ...

A company uses the GARCH(1,1) model for updating volatility. The three parameters are , , and .

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A company uses the GARCH(1,1) model for updating volatility. The three parameters are ω, α, and β. Describe the impact of making a small increase in each of the parameters while keeping the others fixed.

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:22 PM

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A company uses the GARCH(1,1) model for updating volatility. The three parameters are , , and .

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