Suppose that GARCH(1,1) parameters have been estimated as = 0.000003, = 0.04, and = 0.94.
Question:
Suppose that GARCH(1,1) parameters have been estimated as = 0.000003,
= 0.04, and = 0.94. The current daily volatility is estimated to be 1%.
Estimate the daily volatility in 30 days.
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