Multiple Choice
The parameters in a GARCH (1,1) model are: omega =0.000002,alpha = 0.04,and beta = 0.95.The current estimate of the volatility level is 1% per day.If we observe a change in the value of the variable equal to 2%,how does the estimate of the volatility change
A) 1.26%
B) 1.16%
C) 1.06%
D) 1.03%
Correct Answer:
Verified
Correct Answer:
Verified
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