Suppose that a GARCH(1,1) model is estimated from daily data as (^2)n = 0.000005 + 0.17u^2 n1
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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.
Related Book For
Applied Regression Analysis and Other Multivariable Methods
ISBN: 978-1285051086
5th edition
Authors: David G. Kleinbaum, Lawrence L. Kupper, Azhar Nizam, Eli S. Rosenberg
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