Question
The following chart displays volatility (VIX index) over the 1990-2019 period. The shaded areas represent recession as determined by National Bureau of Economic Research. a.Use
The following chart displays volatility (VIX index) over the 1990-2019 period. The shaded areas represent recession as determined by National Bureau of Economic Research.
a.Use this graph to list the most prominent time-series properties of volatility.
b.Write the equation for GARCH (1,1) model and interpret its parameters.
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
13th edition
978-1285027371, 128502737X, 978-1133541141
