Using GARCH (1,1) Approach to Estimate Volatility
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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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Which of the following four statements on models for estimating volatility is incorrect? 1. In the EWMA model, some positive weight is assigned to the long-run average variance rate. 2. In the EWMA model, the weights assigned to observations decrease exponentially as the observations become older. 3. In the GARCH(1,1) model, a positive weight is estimated for the long-run average variance rate. 4. In the GARCH(1,1) model, the weights estimated for observations decrease exponentially as the obser
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