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elf_fu elf_fu
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Posts: 705
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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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#1
Posts: 471
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6 years ago
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elf_fu Author
wrote...

6 years ago
Good timing, thanks!
nsak
wrote...

Yesterday
this is exactly what I needed
mmmm_dat_userna
wrote...

2 hours ago
Brilliant ツ
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