Illustrates the family members of the GARCH
Illustrates the family members of the GARCH?
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Here are several of the other members of the GARCH family. New ones are being added always, they are breeding as rabbits. In these models the ‘shocks’ can classically either have a normal distribution, a Generalized Error distribution or a Student’s t-distribution, the latter two having the fatter tails.
These are as follows:
• NGARCH• AGARCH• EGARCH• REGARCH• IGARCH• FIGARCH• FIEGARCH• TGARCH• PGARCH• CGARCH
How are financial or economic variable represented by index?
Illustrates an example of GARCH.
A stock whose value is now $44.75 is growing on average by 15 percent per annum. Its volatility is 22 percent. The interest rate is 4 percent. You need to value a call option along with a strike of $45, expiring in two months’ time. So, what can you do?
What is Value at Risk?
At the beginning of the year of 1996, the yearly interest rate was 6 percent in the United States and 2.8 percent in Japan. At the time the exchange rate was 95 yen per dollar. Mr. Jorus, the manager of a Bermuda-based hedge fund, thought that the substantial
Illustrates a case of a static arbitrage and model-independent arbitrage?
How is Information Ratio calculated?
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Explain the second way of calibration if we can’t measure that parameter.
Differentiate between compound interest and discounting.
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