medium · FRM Part 1 Quantitative Analysis
If α + β = 1 in a GARCH(1,1) model with a positive ω, what is the characteristic of the variance process?
- The model simply reduces to a standard EWMA volatility model.
- The implied long-run variance level effectively becomes zero.
- The variance is non-stationary and will grow without bound over time.
- The variance will mean-revert, but only extremely slowly toward its target.
Sign up free to see the explanation and track your rank →
More FRM Part 1 Quantitative Analysis practice
- What is the probability that the business line experiences exactly two events in a given y
- A probability distribution that is asymmetric and has a significantly long tail extending
- A single discrete trial that results in exactly one of two possible outcomes (success or f
- How does the mean of a lognormal distribution compare to the mean of its associated normal
- If an analyst says a return series has 'fat tails,' what does this imply for a risk model
- If the correlation between two assets is -1.0, what does this indicate about their co-move
- In Bayesian inference, what does the term 'Updating' refer to?
- In combinatorics, which coefficient represents the number of ways to select r items from a