Question
The share price is $50 and the volatility was estimated at 2% per day. The share price changes from $50 to $47. Using a GARCH
The share price is $50 and the volatility was estimated at 2% per day. The share price changes from $50 to $47. Using a GARCH (1,1) model with =0.00001, =0.02 and =0.94, the updated volatility estimate is 3% (round final result to one decimal place.)
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Advanced Accounting
Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik
10th edition
0-07-794127-6, 978-0-07-79412, 978-0077431808
