The parameters of a GARCH(1,1) model are estimated as = 0.000004, = 0.05, and =

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The parameters of a GARCH(1,1) model are estimated as = 0.000004,

= 0.05, and = 0.92. What is the long-run average volatility and what is the equation describing the way that the variance rate reverts to its longrun average? If the current volatility is 20% per year, what is the expected volatility in 20 days?

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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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The parameters of a GARCH(1,1) model are estimated as = 0.000004, = 0.05, and =

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Risk Management And Financial Institutions

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