risk management. need very detailed steps of question d) (such as which formular to...
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risk management. need very detailed steps of question d) (such as which formular to use, and how to get the numbers). thank you very much! 
Problem 5 Suppose that the parameters in a GARCH (1,1) model are -0.03, :0.95 and 0.000002. a) What is the long-run average volatility? b) If the current volatility is 1.5% per day, what is your estimate of the volatility in 20, 40, and 60 days? Suppose that there is an event that increases the volatility from 1.5% per day to 2% per day. Estimate the effect on the volatility in 20, 40, and 60 days. c) d) Estimate by how much the event increases the volatilities used to price 20-, 40-, and 60-dafoptions
need very detailed steps of question d) (such as which formular to use, and how to get the numbers).
thank you very much!
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