问题如下:
A risk manager estimates daily variance using a GARCH model on daily return .
The long-run annualized volatility is approximately
选项:
A. 13.54%
B. 7.94%
C. 72.72%
D. 25.00%
解释:
The long-run mean variance is . Taking the square root, this gives 0.5 for daily volatility. Multiplying by , we have an annualized volatility of 7.937%.
老师可以讲下这个题目和知识点吗