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【风险管理基础&定量分析】FRM一级每日真题

发表时间:2015-04-09 来源:金程frm 告诉小伙伴:
【编者按】【风险管理基础&定量分析】FRM一级每日真题
【风险管理基础&定量分析】FRM一级每日真题
 
The following GARCH (1,1) model is used to forecast the daily return variance of an asset:

Suppose the estimate of the volatility today is 6.0% and the asset return is -3.0%. What is the estimate of the long-run average volatility per day?

A.        1.12%

B.        1.29%

C.        1.85%

D.        1.91%

Answer: A

The model corresponds to . Because, it follows that . Because the long-run average variance, , can be found by , it follows that . In other words, the long-run average volatility per day implied by the model is 

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