Suppose that GARCH(1,1) parameters have been estimated as = 0.000002, = 0.04, and = 0.94.
Question:
Suppose that GARCH(1,1) parameters have been estimated as = 0.000002,
= 0.04, and = 0.94. The current daily volatility is estimated to be 1.3%.
Estimate the volatility per annum that should be used to price a 20-day option.
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