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 B= 0.90. If the MILLY 100 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% c. 9.0144% d. 1.0286% e. 0.8544% 1.0653% 7.6060% 7.9225% 1.4273% 0.9099%

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 B= 0.90. If the MILLY 100 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% c. 9.0144% d. 1.0286% e. 0.8544% 1.0653% 7.6060% 7.9225% 1.4273% 0.9099%

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 17P

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