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elf_fu elf_fu
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6 years ago
A stock price has a historical volatility of 24%. If an anomalous event occurs to the company in the next past two days, which was not anticipated, what is the most likely implied estimate of the unconditional volatility using the GARCH model?
A) 12%
B) 20%
C) 27%
D) 45%
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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#1
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6 years ago
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elf_fu Author
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#2
6 years ago
Thank you Heavy Heart
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