Business, 20.07.2021 05:00, arturocarmena10

An option trader is attempting to judge whether an option's premium is cheap or expensive. To do so, he employs a GARCH(1,1) model to forecast volatility. The particular model he estimates has an intercept term equal to 0.000005, a parameter estimate on the latest estimate of variance of 0.85, and a parameter estimate on the latest innovation of 0.13. If the latest volatility estimate from the model were 2.2% per day and the option's underlying asset changed 3%, the trader's estimate of the next period's standard deviation is closest to:

Answers: 1

Show answers

Other questions on the subject: Business

Business, 22.06.2019 00:30, AdoNice

Find the interest rate for a $4000 deposit accumulating to $5234.58, compounded quarterly for 9 years

Answers: 1

continue

Business, 22.06.2019 09:00, tiffanibell71

Asap describe three different expenses associated with restaurants. choose one of these expenses, and discuss how a manager could handle this expense.

Answers: 1

continue

Business, 22.06.2019 17:40, payloo

To appeal to a new target market, the maker of hill's coffee has changed the product's package design, reformulated the coffee, begun advertising price discounts in women's magazines, and started distributing the product through gourmet coffee shops. what has been changed? a. the product's perceptual value. b. the product's 4ps. c. the method used in its target marketing. d. the ownership of the product line. e. the product's utility.

Answers: 3

continue

Business, 22.06.2019 19:00, lonelynomad00

Adrawback of short-term contracting as an alternative to making a component in-house is thata. it is the most-integrated alternative to performing an activity so the principal company has no control over the agent. b. the supplying firm has no incentive to make any transaction-specific investments to increase performance or quality. c. it fails to allow a long planning period that individual market transactions provide. d. the buying firm cannot demand lower prices due to the lack of a competitive bidding process.

Answers: 2

continue

Do you know the correct answer?

An option trader is attempting to judge whether an option's premium is cheap or expensive. To do so,...