The parameters of a GARCH(1,1) model are estimated as ω=0.000004, α=0.05, and β=0.92 . What is the long-run average volatility and what is the equation describing the way that the variance rate reverts to its long-run average? If the current volatility is 20 % per year, what is the expected volatility in 20 days?
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Oct 12, 2023
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