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

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• A company uses the GARCH(1,1) model for updating volatility. The three parameters are w, o, and B. 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: 9780273759072

8th Global Edition

Authors: John Hull

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Question Posted: Oct 22, 2024 04:00 AM

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

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Options Futures And Other Derivatives

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