Describe the impact of making a small increase

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1. The volatility of a certain market variable is 30% per annum. Calculate a 99% confidence interval for the size of the percentage daily change in the variable.

2. A company uses the GARCH(1,1) model for updating volatility. The three parameters are ω, α and β. Describe the impact of making a small increase in each of the parameters while keeping the others fixed.

Reference no: EM131239601

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