The parameters in a GARCH (1,1) model are: omega =0.000002,alpha = 0.04,and beta = 0.95.What is the reversion rate for the variance rate implied by the model
A) 0.5% per day
B) 1.0% per day
C) 1.5% per day
D) 2.0% per day
Correct Answer:
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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
Q5: 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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