Suppose that GARCH(1,1) parameters have been estimated as w= 0.000002, a=0.04, and p=0.94. The current daily volatility

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Suppose that GARCH(1,1) parameters have been estimated as w= 0.000002, a=0.04, and p=0.94. The current daily volatility is estimated to be 1.3%. Estimate the volatility per annum that should be used to price a 20-day option.

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Risk Management And Financial Institutions

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Authors: John C Hull

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Question Posted: Jul 10, 2024 10:04 AM

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Suppose that GARCH(1,1) parameters have been estimated as w= 0.000002, a=0.04, and p=0.94. The current daily volatility

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Risk Management And Financial Institutions

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