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What is the long-run average volatility

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Reference no: EM133024070

Question - Suppose the parameters in a GARCH (1,1) model are α = 0.03, β = 0.93 and ω = 0.000005. The current daily volatility is estimated to be 1.3%.

(a) What is the long-run average volatility?

(b) Estimate the daily volatility in 30 days.

Reference no: EM133024070

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