The parameters in a GARCH (1,1) model are: omega =0.000002,alpha = 0.04,and beta = 0.95.Which of the following is the closest to the long run average volatility?
A) 1.1%
B) 1.2%
C) 1.3%
D) 1.4%
Correct Answer:
Verified
Q1: The parameters in a GARCH (1,1)model are:
Q2: Which of the following is true of
Q3: Which of the following is true
A) EWMA
Q4: At the end of Thursday,the estimated volatility
Q6: The parameters in a GARCH (1,1)model are:
Q7: Which of the following is true
A) GARCH
Q8: Which of the following is true
A) All
Q9: Which of the following is true
A) GARCH
Q10: What does EWMA stand for?
A) Equally weighted
Q11: At the end of Thursday,the estimated volatility
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