Answer: B

The correct answer is B. In GARCH models, the persistence parameter (α + β) determines how quickly the model reverts to its long-term mean. A lower persistence value means faster mean reversion: - Option B has α + β = 0.97 - Lower persistence = faster mean reversion - Higher persistence = slower mean reversion Therefore, the model with α + β = 0.97 will revert to its mean the fastest.

Author: LeetQuiz Editorial Team