hard · FRM Part 1 Quantitative Analysis
A portfolio's daily variance is modeled via GARCH(1,1). The long-run variance is 0.00025 and the persistence is 0.96.
If the current variance is 0.00015, what is the expected average daily variance over the next 2 days?
- 0.000150
- 0.000154
- 0.000152
- 0.000157
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