问题如下:
Suppose that the current volatility estimate is 3% per day and the long-run average volatility estimate is 2% per day. What are the volatility estimates in ten days and 100 days in a GARCH (1,1) model where ω= 0.000002, α= 0.04, and β= 0.94?
解释:
The expected variance rate in ten days is 0.02^2 + (0.04 + 0.94)^10 (0.03^2– 0.02^2) = 0.000809,