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.
![](https://test.transtutors.com/qimg/4a69b9b7-6058-4ab7-85ac-f5badd752c07.png)
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.
![](https://test.transtutors.com/qimg/fa7c8d3f-783c-4ddf-98b4-a2e927a18c1c.png)
6. Provide a graph of the term structure of volatility using (4.113).