The parameters in a GARCH (1,1) model are: omega =0.000002,alpha = 0.04,and beta = 0.95.The current estimate of the volatility level is 1% per day.If we observe a change in the value of the variable equal to 2%,how does the estimate of the volatility change
A) 1.26%
B) 1.16%
C) 1.06%
D) 1.03%
Correct Answer:
Verified
Q2: Which of the following is true of
Q3: Which of the following is true
A) EWMA
Q4: At the end of Thursday,the estimated volatility
Q5: The parameters in a GARCH (1,1)model are:
Q6: The parameters in a GARCH (1,1)model are:
Q7: Which of the following is true
A) GARCH
Q8: Which of the following is true
A) All
Q9: Which of the following is true
A) GARCH
Q10: What does EWMA stand for?
A) Equally weighted
Q11: At the end of Thursday,the estimated volatility
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents