如果都是小于1，是r越大，线型越平稳吗？

问题如下：

A risk analyst is estimating the variance of returns on a stock index for the next trading day. The analyst uses the following GARCH (1,1) model:

$\sigma_{n}^{2}=\alpha r_{n-1}^{2}+\beta \sigma_{n-1}^{2}+\gamma V_{L}$

where σ_n^2, r_n-1, and σ_n-1 represent the index variance on day n, return on day n-1,and volatility on dayn-1, respectively. If the expected value of the return is constant over time, which combination of values for α and β would result in a stable GARCH (1,1) process?

选项：

A.

α = 0.073637 and β = 0.927363

B.

α = 0.075637 and β = 0.923363

C.

α = 0.084637 and β = 0.916363

D.

α = 0.086637 and β = 0.914363

解释：

中文解析：

B正确。为了让GARCH（1,1）平稳，参数α，β和γ之和必须等于1。所以α和β的和小于1。

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B is correct. For a GARCH (1,1) process to be stable, the parameters α, β, and γ must be

positive and sum to 1. Therefore, the sum of α and β needs to be less than 1.

A, C, and D are incorrect. In each of these cases, the sum of α and β is greater than 1.