Multiple Choice
The parameters in a GARCH (1,1) model are: omega =0.000002,alpha = 0.04,and beta = 0.95.What is the reversion rate for the variance rate implied by the model
A) 0.5% per day
B) 1.0% per day
C) 1.5% per day
D) 2.0% per day
Correct Answer:
Verified
Correct Answer:
Verified
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