Volatility Term Structures GARCH (1,1) suggests that , when calculating vega , we should shift the long maturity volatilities less than the short maturity volatilities When instantaneous volatility changes by Ds (0), volatility for T - day option changes by

1- eat s (0) aT s(T) Ds (0) 1- eat s (0) aT s(T) Ds (0) 1- eat s (0) aT s(T) Ds (0) 1- eat s (0) aT s(T) Ds (0)