Exercise 7.6 Suppose that the estimated parameters of a GARCH(1,1) are = 0.002, = 2.5106,

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Exercise 7.6 Suppose that the estimated parameters of a GARCH(1,1) are μ = 0.002, ω = 2.5×10−6, β = .88 and α = .105. Here we assume Gaussian innovations.
What are the corresponding parameters of the associated stochastic volatility model? Write also the two stochastic differential equations satisfied by S and V . What is the correlation between the two Brownian motions?

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