Question: Show that the GARCH (1,1) model in equation (23.9) is equivalent to the stochastic volatility model where time is measured in days and is the

Show that the GARCH (1,1) model = @+au + Bo n-1


in equation (23.9) is equivalent to the stochastic volatility modeldV = a(V, –V)dt +¿V dz  

where time is measured in days and  is the square of the volatility of the asset price and 

= @+au + Bo n-1 dV = a(V, V)dt +V dz


What is the stochastic volatility model when time is measure in years? 

= @+au + Bo n-1 dV = a(V, V)dt +V dz

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