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Assume a GARCH(1,1) model with alpha=0.04 and beta=0.94. If omega equals 0.000008, what is the long-run average volatility (report in decimals)?
Assume a GARCH(1,1) model with alpha=0.04 and beta=0.94. If omega equals 0.000008, what is the long-run average volatility (report in decimals)?
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Personal Finance
Authors: Jeff Madura
5th edition
132994348, 978-0132994347
