Assume that S&P 500 at close of trading yesterday was 1,040 and the daily volatility of the index was estimated as 1% per day at that time. The parameters in a GARCH(1, 1) model are w = 0.000002, a = 0.06, and B = 0.92. If the level of the index at close of trading today is 1,060, what is the new volatility estimate?

AppendixLO1