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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).
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Actual and accounting depreciation are both 10%, which the company replaces. Taxes are 0%. ROE is 12% and there are 10 million shares outstanding.
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