Question
The Euro closed at $1.18 yesterday, and the daily volatility was estimated to be 0.45% for today. If todays market close is $1.184, calculate the
The Euro closed at $1.18 yesterday, and the daily volatility was estimated to be 0.45% for today. If todays market close is $1.184, calculate the updated volatility estimate for tomorrow using a GARCH(1,1) model with = .04 (weight on return),
= .94 (weight on prior vol.), and a long term volatility estimate of 0.50%.
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Introduction To Financial Technology
Authors: Roy S. Freedman
1st Edition
0123704782, 9780123704788
