Question: i. Using the data in the following table, find the value of gamma and estimate current volatility using the ARCH model. Long-run Volatility Gamma Day

i. Using the data in the following table, find the value of gamma and estimate current volatility using the ARCH model. Long-run Volatility Gamma Day Past returns Alpha 0.003 ? n-1 0.04 0.60 n-2 -0.02 0.25 n-3 0.03 0.10 Keep your answer for volatility estimate to 5 decimal places. 3 marks ii. Using the data in the following table, find the value of beta and estimate current volatility using the GARCH model. Long-run VolatilityGammaSquared past returnsAlphaBetaPast Variance 0.004 0.05 0.03 0.55 ? 0.02 0.02 0.20 0.03 0.15 5 marks Keep the volatility estimate to 5 decimal places

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