The price of an asset at close of trading yesterday was $$100$ and its volatility was estimated as $1\mathrm{.}3\%$ per day. The parameters of GARCH$(1,1)$ model are given by $\backslash$omega $=0\mathrm{.}000002,\backslash$alpha $=0\mathrm{.}04,\backslash$beta $=0\mathrm{.}94.$ What is the volatility estimate $($per day$)$ for today if the price at the close of trading today is $$105?$

Question $13$ Answer

a$.$

$12\mathrm{.}75\%$

b$.$

$0\mathrm{.}016\%$

c$.$

$1\mathrm{.}5\%$

d$.$

$1\mathrm{.}62\%$