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Q-83. Which of the following GARCH models will take the shortest time to revert to its mean?
A
ht=0.05+0.03rt−12+0.96ht−1h_t = 0.05 + 0.03r_{t-1}^2 + 0.96h_{t-1}ht=0.05+0.03rt−12+0.96ht−1_
B
ht=0.03+0.02rt−12+0.95ht−1h_t = 0.03 + 0.02r_{t-1}^2 + 0.95h_{t-1}ht=0.03+0.02rt−12+0.95ht−1_
C
ht=0.02+0.01rt−12+0.97ht−1h_t = 0.02 + 0.01r_{t-1}^2 + 0.97h_{t-1}ht=0.02+0.01rt−12+0.97ht−1_
D
ht=0.01+0.01rt−12+0.98ht−1h_t = 0.01 + 0.01r_{t-1}^2 + 0.98h_{t-1}ht=0.01+0.01rt−12+0.98ht−1_
