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The Parameters in a GARCH (1,1)model Are: Omega =0

Question 16

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.What is the expected volatility in 20 days?


A) 1.09%
B) 1.10%
C) 1.11%
D) 1.12%

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