The Parameters in a GARCH (1,1)model Are: Omega =0

question 13

Multiple Choice

The parameters in a GARCH (1,1) model are: omega =0.000002,alpha = 0.04,and beta = 0.95.The current estimate of the volatility level is 1% per day.If we observe a change in the value of the variable equal to 2%,how does the estimate of the volatility change

• A) 1.26%
• B) 1.16%
• C) 1.06%
• D) 1.03%

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