What is the long run average volatility

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The parameters of a GARCH(1,1) model are estimated as ω = 0:000004, α = 0:05, and β = 0:92.

What is the long-run average volatility and what is the equation describing the way that the variance rate reverts to its long-run average? If the current volatility is 20% per year, what is the expected volatility in 20 days?

Reference no: EM131239586

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