What is the new volatility estimate

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Assume that S&P 500 at close of trading yesterday was 1,040 and the daily volatility of the index was estimated as 1% per day at that time. The parameters in a GARCH(1,1) model are ω = 0:000002, α = 0:06, and β = 0:92.

If the level of the index at close of trading today is 1,060, what is the new volatility estimate?

Reference no: EM131239595

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