hard · Quantitative Finance prob-stats
A risk manager uses a GARCH(1,1) model for daily returns where ω = 0.000002, α = 0.08, and β = 0.90.
If yesterday's volatility was 1.5% and the return was -2%, what is the predicted annualized volatility for the long run (assuming 252 days)?
- 15.87%
- 1.50%
- 25.20%
- 22.45%
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