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9. Assume that the TUCO500 at close of trading yesterday was 7,400 and the daily volatility of the index was estimated as 0.87% per day
9. Assume that the TUCO500 at close of trading yesterday was 7,400 and the daily volatility of the index was estimated as 0.87% per day at that time. The parameters in a GJR GARCH model are w = 0.000003, a = 0.05, and B = 0.92. If the level of the index at close of trading today is 7,000, what is the new volatility estimate? a. 1.5068% per day b. 7.5424% per day c. 1.953% per day d. 5.3364% per day e. None of the above continued
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