medium · FRM Part 1 Quantitative Analysis
An analyst notes that for a specific asset, the GARCH(1,1) parameters sum to α + β = 0.9995.
If ω is very small, this model will behave most similarly to:
- The EWMA model.
- A GARCH model with high mean-reversion speed.
- A model that ignores all previous variance history.
- A constant volatility model.
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