medium · FRM Part 1
A quantitative risk analyst is reviewing a GARCH(1,1) model specified as σ^2_t = 0.000004 + 0.07r^2_t-1 + 0.91σ^2_t-1.
What is the daily long-run (unconditional) volatility predicted by this model?
- 2.000%
- 0.400%
- 1.000%
- 1.414%
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