Q.93 A generalized autoregressive conditional-heteroskedastic (GARCH)(1,1) model has the following parameters: $\omega = 0.0005$; $\alpha = 0.01$; $\beta = 0.98$ The implied long-run volatility level is closest to: | Financial Risk Manager Part 1 Quiz - LeetQuiz
Financial Risk Manager Part 1
Get started today
Ultimate access to all questions.
Explanation:
The long-run average variance = (1−α−β)ω=(1−0.01−0.98)0.0005=0.05
The long-run volatility = ((1−α−β)ω)=0.05=0.2236
Comments (0)
No comments yet.
Q.93 A generalized autoregressive conditional-heteroskedastic (GARCH)(1,1) model has the following parameters: ω=0.0005; α=0.01; β=0.98 The implied long-run volatility level is closest to:
