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Part I
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Quantitative Analysis
Quantitative Analysis
Hard
A quant researcher at Atlas Analytics fits a GARCH(1,1) model to equity index returns: σ²_t = 0.000002 + 0.08ε²_{t-1} + 0.90σ²_{t-1}. The long-run average variance implied by this model is closest to:
A
0.000100
B
0.000002
C
0.000098
D
0.000200
Select an answer to continue
Tags
#garch
#long-run-variance
#volatility-modeling
#time-series
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