1 the volatility of a certain market variable is 30 per, Ask an Expert

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1. The volatility of a certain market variable is 30% per annum. Calculate a 99% confidence interval for the size of the percentage daily change in the variable.

2. A company uses the GARCH(1,1) model for updating volatility. The three parameters are ω, α and β. Describe the impact of making a small increase in each of the parameters while keeping the others fixed.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91995471

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