hard · Quantitative Finance prob-stats
A GARCH(1,1) process has parameters ω = 0.000002, α = 0.04, and β = 0.94.
If the current volatility is 20% annualized (assume 252 days), is the process currently above or below its long-run volatility?
- Below
- Above
- Cannot be determined
- Exactly at the long-run level
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