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elf_fu elf_fu
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Posts: 705
Rep: 2 0
6 years ago
A stock has a historical volatility of 39%. The data shows significantly increased volatility in recent data and significantly lower volatility in older data. The implied estimate of the unconditional volatility using the GARCH model is most likely to be which of the following?
A) 12%
B) 25%
C) 45%
D) 85%
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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Posts: 471
6 years ago
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