A graph of the theoretical versus empirical autocorrelation

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Calibrate a GARCH(1,1) Process for SX5E

1. Find μ from = μ?t where ?t =.

2. Find s from E[(r¹-)²] = σ²?t.

4. Use the methodology described in this chapter to calibrate a and β.

5. Provide a graph of the theoretical versus empirical autocorrelation fit as in Figure 4-7.

6. Provide a graph of the term structure of volatility using (4.113).

Reference no: EM131086877

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