GARCH(1,1)
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Reality Check
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Continous
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Simple %
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(Hull 19.8)
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Yesterday (n-1)
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155
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155
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1040
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Today (n)
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158
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158
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1060
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Return (n-1)
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1.92%
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1.94%
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1.92%
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Volatility (n-1)
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1.0%
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1.0%
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1.0%
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Omega
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0.000012
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0.000012
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0.000002
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Alpha
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0.10
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0.10
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0.06
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Beta
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0.78
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0.78
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0.92
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GARCH(1,1)
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0.0001267
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0.0001275
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0.0001162
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Volatility
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1.126%
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1.129%
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1.078%
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Correct!
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Omega
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0.000012
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0.000012
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0.000002
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L.R. Variance
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0.0001
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0.0001
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0.0001
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L.R. Volatiltiy
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1.00%
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1.00%
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1.00%
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