Question
Suppose the long run variance rate in a GARCH(1,1) model is 0.0002 so that the long-run volatility per day is 1.4%. 2 n =0.00092+0.13u 2
Suppose the long run variance rate in a GARCH(1,1) model is 0.0002 so that the long-run volatility per day is 1.4%.
2n=0.00092+0.13u2t-1+0.862n-1
suppose that the current estimate of the volatility is 1.6% per day and the most recent percentage change in the market variable is 1%.What is the new variance estimate?
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The Changing Geography Of Banking And Finance
Authors: Pietro Alessandrini ,Michele Fratianni ,Alberto Zazzaro
1st Edition
1441947205, 978-1441947208
