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

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

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Risk Management And Financial Institutions

ISBN: 9781118269039

3rd Edition

Authors: John C. Hull

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Question Posted: Jul 27, 2024 02:00 AM

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

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Risk Management And Financial Institutions

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