Illustrates an example of GARCH
Illustrates an example of GARCH.
Expert
The simplest GARCH family member is GARCH (1,1) wherein the variance, vn, of stock returns at time step n is modelled through
vn = (1 - α - β)w0 + βvn-1 + αvn-1B2n-1,
Here w0 is the long-term variance, α and β are positive parameters, along with α + β< 1, and Bn are independent Brownian motions, which is, random numbers drawn by a normal distribution. The newest variance, vn, can therefore be thought of like a weighted average of the latest variance, the long-term average and the latest square of returns.
In what circumstances would market to book ratios of value be misleading?
Normal 0 false false
You need to price an option that is paid for within instalments, and you can stop paying and lose the option. Which numerical method should you use?
Explain the important properties of Brownian motion.
On the contrary to the U.S., Japan has felt continuous current account surpluses. What could be the foremost causes for these surpluses? Is it desirable to have continuous current account surpluses? Japan's continu
What is transition probability density function? Explain the term with forward and Backward Equations.
Explain the features of Brownian motion.
Staind, Inc., has 7 percent coupon bonds on the market that have 13 years left to maturity. The bonds make annual payments. If the YTM on these bonds is 11 percent, what is the current bond price?
Who introduced the model of discrete set of rates?
In brief discuss the cause & the solution(s) to the international bank crisis involving less developed countries.The international debt crisis started on August 20, 1982 while Mexico asked more than 100 U.S. and foreign banks to forgive its
18,76,764
1959643 Asked
3,689
Active Tutors
1448344
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!