The estimated GARCH volatility model parameters and t-statistics are givenbelow. Volatility Prediction for today is 20%. If the stock falls by 2% today,what will be forecast for volatility next day?Parameter Estimatesparamt-stat0.000025514.100.05327.120.940505.68plain excel sheet.xlsxO 22.2%32.1%308%1.4%

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Answered: The estimated GARCH volatility model…

MATLAB: An Introduction with Applications

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ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

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The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 14.7% (i.e. an average gain of 14.7%) with a standard deviation of 33%. A return of 0% means the value of the portfolio doesn’t change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. What percent of years does this portfolio lose money, i.e. have a return less than 0%? What is the cutoff for the highest 15% of annual returns with this portfolio?
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The estimated GARCH volatility model parameters and t-statistics are given below. Volatility Prediction for today is 20%. If the stock falls by 2% today, what will be forecast for volatility next day? Parameter Estimates param t-stat 0.0000255 14.10 0.053 27.12 0.940 505.68