Question
Consider a GARCH(1,1) process, , if and the current volatility is smaller than the long run volatility, the volatility term structure estimated from this GARCH(1,1)
Consider a GARCH(1,1) process, , if and the current volatility is smaller than the long run volatility, the volatility term structure estimated from this GARCH(1,1) has:
Select one:
a.
A downward-sloping curve and then becomes a straight line
b.
A downward-sloping curve
c.
An upward-sloping curve
d.
A flat curve
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The Finance Book
Authors: Stuart Warner, Si Hussain
1st Edition
1292123648, 978-1292123646
