The volatility of a certain market variable is 30 per annum, Financial Management

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The volatility of a certain market variable is 30 per annum

1. The volatility of a certain market variable is 30% per annum. Calculate a 99% confidence interval for the size of the percentage daily change in the variable.

2. A company uses the GARCH(1,1) model for updating volatility. The three parameters are ω, α and β. Describe the impact of making a small increase in each of the parameters while keeping the others fixed.

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Financial Management: The volatility of a certain market variable is 30 per annum

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Financial Management: The volatility of a certain market variable is 30 per annum

Reference No:- TGS01633601

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