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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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Fundamentals Of Corporate Finance
Authors: Jonathan Berk, Peter DeMarzo, Jarrad Harford
5th Global Edition
1292437154, 978-1292437156
