【風險管理基礎&定量分析】FRM一級每日真題
The following GARCH (1,1) model is used to forecast the daily return variance of an asset:
Suppose the estimate of the volatility today is 6.0% and the asset return is -3.0%. What is the estimate of the long-run average volatility per day?
A. 1.12%
B. 1.29%
C. 1.85%
D. 1.91%
Answer: A
The model corresponds to 
. Because
, it follows that 
. Because the long-run average variance, 
, can be found by 
, it follows that 
. In other words, the long-run average volatility per day implied by the model is 
