Question
Assume that the Fremont250 at close of trading yesterday was 5,250 and the daily volatility of the index was estimated as 0.87 percent per day
Assume that the Fremont250 at close of trading yesterday was 5,250 and the daily volatility of the index was estimated as 0.87 percent per day at that time. The parameters in a GJR GARCH model are = 0.000004, = 0.05, and = 0.92. If the level of the index at close of trading today is 5,125, what is the new volatility estimate?
ans: 1.1476%per day
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New Venture Creation A Framework For Entrepreneurial Start-ups
Authors: Paul Burns
2nd Edition
1352000504, 978-1352000504
