hard · FRM Part 1 Quantitative Analysis
An analyst is evaluating a GARCH(1,1) model where the parameters are estimated as ω = 0.000004, α = 0.07, and β = 0.91.
If the current daily volatility is 2.5% and the long-run average daily volatility is 2.0%, what is the expected daily volatility in 20 days?
- 2.24%
- 2.50%
- 2.34%
- 2.00%
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