NO.PZ2020011303000085
问题如下：
If ω= 0.000002, α= 0.04, and β= 0.94 in a GARCH model, what is the long-run average variance rate? What volatility does this correspond to?
解释：
The long-run average variance rate is 0.000002/(1 – 0.04 – 094) = 0.0001. This corresponds to a volatility of 1% per day.
题目问：已知ω= 0.000002, α= 0.04, and β= 0.94，通过GARCH模型计算long-run variance rate是多少？以及volatility。
The long-run average variance rate is 0.000002/(1 – 0.04 – 094) = 0.0001=0.01%.
Volatility =0.01%^0.5=1%
老师，也就是GARCH的VL（长期平均水平）是一个方差的概念？
