NO.PZ2022062761000018
问题如下:
A risk analyst is estimating the variance of stock returns on day n, given by , using the equation,
where and represent the return and volatility on day n-1, respectively. If the values of α and β are as indicated below and the expected value of the return is constant over time, which combination of values is correct for a GARCH(1,1) process?
选项:
A.α = 0.073637 and β = 0.927363
α = 0.075637 and β = 0.923363
α = 0.084637 and β = 0.916363
α = 0.086637 and β = 0.914363
解释:
中文解析:
如果GARCH(1,1)想要平稳,α和β相加要小于1.
For a GARCH(1,1) process to be stable, the sum of the parameters α and β needs to be
less than 1.0.
不会算