medium · Quantitative Finance prob-stats
A GARCH(1,1) model is calibrated with parameters ω = 0.000005, α = 0.10, and β = 0.85.
If the current conditional variance is σ²_t = 0.0004, what is the long-run unconditional daily volatility of the asset?
- 0.50%
- 1.50%
- 2.24%
- 1.00%
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