Explain the term CGARCH as of the GARCHs family
Explain the term CGARCH as of the GARCH’s family.
Expert
CGARCH: It is component GARCH. This models variance like the sum of two or more ‘components.’ Within a two-component model, for illustration, one component is used to capture short-term and other the long-term effects of shocks. Therefore this model has the long memory; slow decay of volatility appears in practice.
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Stock price is $98; and European call option struck at $100 along with an expiration of nine months has a value of $9.07. There nine-month, compounded continuously, interest rate is 4.5%. So find out the value of the put option with the same strike and expirat
Explain the term TGARCH as of the GARCH’s family. Answer: TGARCH: It is threshold GARCH. This is the same
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