medium · FRM Part 1
A risk manager observes a GARCH(1,1) model with parameters ω = 0.000004, α = 0.06, and β = 0.92.
What is the long-run unconditional daily volatility (σ_LR) of this process?
- 1.00%
- 0.02%
- 2.00%
- 1.41%
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