Question
volatility of the index was estimated as 1% per day at that time. The parameters in a GARCH(1,1) model are = 0.000002, = 0.06, and
volatility of the index was estimated as 1% per day at that time. The parameters in a GARCH(1,1) model are = 0.000002, = 0.06, and = 0.92. If the level of the index at close of trading today is 1,060, what is the new volatility estimate?
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Real Estate Finance
Authors: John P. Wiedemer, Keith J. Baker
9th edition
324181426, 324181425, 978-0324181425
