Assume that S&P 500 at close of trading yesterday was 1,040 and the daily volatility of the
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• 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 = 0.92. If the level of the index at close of trading today is 1,060, what is the new volatility estimate?
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