hard · FRM Part 1
A risk manager is utilizing a GARCH(1,1) model where the daily variance is updated as σ_t^2 = ω + α r_t-1^2 + β σ_t-1^2.
Given the parameters ω = 0.000002, α = 0.04, and β = 0.94, and a current daily volatility of 2.0%, what is the expected daily volatility 10 days from now?
- 1.89%
- 2.00%
- 1.41%
- 1.73%
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