AppliedNumeric answer

With the GARCH(1,1) above ( $\omega = 0.000002$ , $\alpha = 0.08$ , $\beta = 0.90$ ), yesterday’s volatility was $1\%$ and today’s return is $-2\%$ . What is tomorrow’s volatility forecast, in percent to three decimals?

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Volatility models: ARCH, GARCH and realised measures

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With the GARCH(1,1) above (ω=0.000002\omega = 0.000002ω=0.000002, α=0.08\alpha = 0.08α=0.08, β=0.90\beta = 0.90β=0.90), yesterday’s volatility was 1%1\%1% and today’s return is −2%-2\%−2%. What is tomorrow’s volatility forecast, in percent to three decimals?

More time series questions

With the GARCH(1,1) above ( $\omega = 0.000002$ , $\alpha = 0.08$ , $\beta = 0.90$ ), yesterday’s volatility was $1\%$ and today’s return is $-2\%$ . What is tomorrow’s volatility forecast, in percent to three decimals?