hard · Quantitative Finance qf-core
A GARCH(1,1) model is specified as σ_t^2=ω+αε_t-1^2+βσ_t-1^2 with ω=0.000004, α=0.08, and β=0.90.
What is the annualized (252 trading-day) unconditional volatility implied by this model?
- ≈1.4%
- ≈3.3%
- ≈22.4%
- ≈27.0%
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