hard · FRM Part 1
A GARCH(1,1) model has persistence (α + β) = 0.99. If the current volatility is 1.5% and the long-run volatility is 2.0%, what can be predicted about the term structure of volatility?
- It is downward-sloping.
- It is inverted at the short end.
- It is perfectly flat.
- It is upward-sloping.
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