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Problem 2 (12 points) Suppose the parameters in a GARCH (1,1) model: o{+1=w+Bo? + ae ; are w = 0.000004, a = 0.06, and B
Problem 2 (12 points) Suppose the parameters in a GARCH (1,1) model: o{+1=w+Bo? + ae ; are w = 0.000004, a = 0.06, and B = 0.93, the index t refers to days, and et is zero-mean white noise with conditional variance oz. Problem 2 (12 points) Suppose the parameters in a GARCH (1,1) model: o{+1=w+Bo? + ae ; are w = 0.000004, a = 0.06, and B = 0.93, the index t refers to days, and et is zero-mean white noise with conditional variance oz
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