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?