In the VLAB GJR-GARCH model for Microsoft, volatility, parameters and t- statistics are given below. If the stock falls by 5% today (May 5), what
In the VLAB GJR-GARCH model for Microsoft, volatility, parameters and t- statistics are given below. If the stock falls by 5% today (May 5), what will be forecast for volatility the next day, May 6? Volatility Prediction for Tuesday, May 5th, 2020: 49.31% (-1.72%) Parameter Estimates param t-stat W 0.000005 13 0.03 16 0.92 488
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