9. Assume that the MILLY100 Index at close of trading yesterday was 7,300 and the daily volatility of the index was estimated as 0.8% per day at that time. The parameters in a GJR GARCH model are w =...

9. Assume that the MILLY100 Index at close of trading yesterday was 7,300 and the daily<br>volatility of the index was estimated as 0.8% per day at that time. The parameters in a GJR<br>GARCH model are w = 0.000006, a = 0.09, and ß = 0.90. If the MILLY100 moves by 75<br>points by close of trading today, what will the new volatility estimate be, per day, if the move<br>is an increase or a decrease?<br>Increase<br>Decrease<br>a. 1.0286%<br>b. 7.5996%<br>1.0653%<br>7.6060%<br>c. 9.0144%<br>d. 1.0286%<br>7.9225%<br>1.4273%<br>0.9099%<br>e. 0.8544%<br>

Extracted text: 9. Assume that the MILLY100 Index at close of trading yesterday was 7,300 and the daily volatility of the index was estimated as 0.8% per day at that time. The parameters in a GJR GARCH model are w = 0.000006, a = 0.09, and ß = 0.90. If the MILLY100 moves by 75 points by close of trading today, what will the new volatility estimate be, per day, if the move is an increase or a decrease? Increase Decrease a. 1.0286% b. 7.5996% 1.0653% 7.6060% c. 9.0144% d. 1.0286% 7.9225% 1.4273% 0.9099% e. 0.8544%

Jun 11, 2022

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9. Assume that the MILLY100 Index at close of trading yesterday was 7,300 and the daily volatility of the index was estimated as 0.8% per day at that time. The parameters in a GJR GARCH model are w =...

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