Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Sep 19, 2024

5. Suppose that the parameters in a GARCH(1,1) model are a = 0 . 13, b = 0 .82 and w = 0 . 000001.

5. Suppose that the parameters in a GARCH(1,1) model are a = 0.13, b = 0.82 and w = 0.000001.

(a) What is the long-run average volatility?

(b) If the current volatility is 1.75% per day, what is your estimate of the volatility in 20, 40, and 60 days?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

Step: 3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

The Financial Diet A Total Beginners Guide To Getting Good With Money

Authors: Chelsea Fagan, Lauren Ver Hage

1st Edition

1250176166, 978-1250176165

More Books

Students also viewed these Finance questions

Question

★★★★★

Refer to the situation described inBE 5-11. How would your answer change if Orange reported under IFRS? In BE 5-11, Orange, Inc., sells a LearnIt-Plus software package that consists of their normal...

Answered: 1 week ago

Question

★★★★★

Louie is a full-time employee for a large corporation and also an investor in the stock market in his spare time. In the current year, Louie incurs $2,500 of travel expenses and $1,000 in...

Answered: 1 week ago

Question

★★★★★

=+1,000-word memo to your instructor in which you identify the audience and purpose of the infographics and compare and contrast them using such criteria as

Answered: 1 week ago

Question

★★★★★

JAD requires strong interpersonal and communication skills on the part of the systems analyst. Are those skills different from the ones that an analyst needs when conducting one-to-one interviews?...

Answered: 1 week ago

Question

★★★★★

5. Suppose that the parameters in a GARCH(1,1) model are a = 0 . 13, b = 0 .82 and w = 0 . 000001. (a) What is the long-run average volatility? (b) If the current volatility is 1.75% per day, what is...

Answered: 1 week ago

Question

★★★★★

This is the trial balance of Oriole Company on September 30. The October transactions were as follows. Oct. 5 Received $1,510 in cash from customers for accounts receivable due. 10 Billed customers...

Answered: 1 week ago

Question

★★★★★

A retrospective associational study examined the medical utilization of homeless veterans receiving treatment in a Veterans Affairs health care system (LePage, Bradshaw, Cipher, & Hooshyar, 2014). A...

Answered: 1 week ago

Question

★★★★★

Which one of the following technologies is not directly related to Big Data? Group of answer choices Spark Hadoop MapReduce OLAP

Answered: 1 week ago

Question

★★★★★

Mr. Brown just won the lottery. The lottery will pay Mr. Brown 6 annual payments, with the first payment occurring today (Year 0) and the last payment occurring 5 years from today (Year 5). Todays...

Answered: 1 week ago

Question

★★★★★

A golf ball is struck across a flat fairway at an angle of 60 with an initial speed of 135ft/s. a.). Write a set of parametric equations for the motion of the golf ball. b.). Determine how long the...

Answered: 1 week ago

Question

★★★★★

At December 31, 2023, Halifax Servicing's balance sheet showed capital asset information as detailed in the schedule below. Halifax calculates depreciation to the nearest whole month. 1 There have...

Answered: 1 week ago

Question

★★★★★

Mitzi Johnson worked for XYZ Company, which had a code of ethics for employees. In the training session, employees received a card that included these tests to determine ethical behavior: Is it...

Answered: 1 week ago

Question

★★★★★

Explain the concept of viral advertising, and give an example of an advertisement that might fit this concept. (Objective 1)

Answered: 1 week ago

Question

★★★★★

Explain why you agree or disagree with this statement: Only a small percentage of business and professional people behave in unethical ways. (Objective 4)

Answered: 1 week ago

Previous Question Next Question