The estimated GARCH volatility model parameters and t-statistics are given below. Volatility Prediction for today is 20%. If the stock falls by 2% today, what will be forecast for volatility next day? Parameter Estimates param t-stat 0.0000255 14.10 0.053 27.12 0.940 505.68

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The estimated GARCH volatility model parameters and t-statistics are given
below. Volatility Prediction for today is 20%. If the stock falls by 2% today,
what will be forecast for volatility next day?
Parameter Estimates
param
t-stat
0.0000255
14.10
0.053
27.12
0.940
505.68
plain excel sheet.xlsx
O 22.2%
32.1%
308%
1.4%
Transcribed Image Text:The estimated GARCH volatility model parameters and t-statistics are given below. Volatility Prediction for today is 20%. If the stock falls by 2% today, what will be forecast for volatility next day? Parameter Estimates param t-stat 0.0000255 14.10 0.053 27.12 0.940 505.68 plain excel sheet.xlsx O 22.2% 32.1% 308% 1.4%
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