sailingby · 2020年06月08日
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?
选项：
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.
这里用的是什么公式呀？
NO.PZ2020011303000085问题如下 If ω= 0.000002, α= 0.04, anβ= 0.94 in a GARmol, whis the long-run average varianrate? Whvolatility es this corresponto? The long-run average varianrate is 0.000002/(1 – 0.04 – 094) = 0.0001. This correspon to a volatility of 1% per y. 题目问已知ω= 0.000002, α= 0.04, anβ= 0.94，通过GARCH模型计算long-run varianrate是多少？以及volatility。The long-run average varianrate 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？
NO.PZ2020011303000085问题如下 If ω= 0.000002, α= 0.04, anβ= 0.94 in a GARmol, whis the long-run average varianrate? Whvolatility es this corresponto? The long-run average varianrate is 0.000002/(1 – 0.04 – 094) = 0.0001. This correspon to a volatility of 1% per y. 题目问已知ω= 0.000002, α= 0.04, anβ= 0.94，通过GARCH模型计算long-run varianrate是多少？以及volatility。The long-run average varianrate is 0.000002/(1 – 0.04 – 094) =0.0001=0.01%.Volatility =0.01%^0.5=1% w=r*Vl 分别指什么
NO.PZ2020011303000085问题如下 If ω= 0.000002, α= 0.04, anβ= 0.94 in a GARmol, whis the long-run average varianrate? Whvolatility es this corresponto? The long-run average varianrate is 0.000002/(1 – 0.04 – 094) = 0.0001. This correspon to a volatility of 1% per y. 讲义381也只有文字描述。
