Question
Consider a Garch(1,1) process, ( t ) 2 =+( r t-1 ) 2 +( t-1 ) 2 , if + <1 and the current volatility
Consider a Garch(1,1) process, (t)2=+(rt-1)2+(t-1)2 , if +<1 and the current volatility is smaller than the long run volatility, the volatility term structure estimated from this Garch(1,1) has:
A downward-sloping curve and then becomes a straight line
An upward-sloping curve
A flat Curve
A downward-sloping curve
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Handbook Of Financial Econometrics
Authors: Yacine Ait-Sahalia, Lars Peter Hansen
1st Edition
044450897X, 978-0444508973
