Using GARCH (1,1) Approach to Estimate Volatility
Using GARCH (1,1) Approach to Estimate Volatility
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What is the difference between the exponentially weighted moving average model and the GARCH(1,1) model for updating volatilities? | Numerade
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Suppose that the parameters in a GARCH ( 1,1 ) model are a=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 how mu
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