FRM一级题目：风险管理定量

发表时间： 2015/10/10

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

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