4 use the methodology described in this chapter to

Question

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).