A company uses the GARCH(1,1) model for updating volatility. Th... | Filo
A company uses the GARCH(1,1) model for updating volatility. Th... …
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Suppose that the parameters in a GARCH (1,1) model are α=0.03, β=0.95, and ω=0.000002 . (a) What is the long-run average volatility? (b) If the current volatility is 1.5 % per day, what is your estimate of the volatility in 20 , 40, and 60 days? (c) What volatility should be used to price 20-, 40 -, and 60 -day options? (d) Suppose that there is an event that increases the current volatility by 0.5 % to 2 % per day. Estimate the effect on the volatility in 20,40 , and 60 days. (c) Estimate by ho
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