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sailingby · 2020年06月08日

问一道题:NO.PZ2020011303000085

问题如下:

If ω= 0.000002, α= 0.04, and β= 0.94 in a GARCH model, what is the long-run average variance rate? What volatility does this correspond to?

选项:

解释:

The long-run average variance rate is 0.000002/(1 0.04 094) = 0.0001. This corresponds to a volatility of 1% per day.

这里用的是什么公式呀?

1 个答案

袁园_品职助教 · 2020年06月09日

同学你好!

我看你是全线班,你可以去听一下 Quantitative Analysis 里 “GARCH(1, 1) Model” 这一节的视频,不复杂,只是可能你忘记了

irene · 2021年09月25日

考试会考么?

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