Question
Correlations and volatilities are updated using a GARCH (1,1) model. Estimates of the model's parameters are a=0.04 and B=094. For the correlation w=0.000001 and
Correlations and volatilities are updated using a GARCH (1,1) model. Estimates of the model's parameters are a=0.04 and B=094. For the correlation w=0.000001 and for the volatilities w=0.000003. Use today's closing prices to show how the correlation estimate is updated. Table 2. Current Daily Volatility Yesterday's closing Price Today's closing Price Correlation Coefficient (A,B) Asset A 1.0% $30.00 $31.00 Asset B 1.2% $50.00 $51.00 (10 marks) TA (2) wer this 0.50
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Options Futures and Other Derivatives
Authors: John C. Hull
10th edition
013447208X, 978-0134472089
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