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3099统计简单derivationmedium

Volatility Update from a Moderate Return

题目

In a GARCH(1,1) model with ω=1\omega=1, α=320\alpha=\frac{3}{20}, and β=35\beta=\frac{3}{5}, suppose the current squared return is rt2=4r_t^2=4 and the current conditional variance is ht=5h_t=5. Compute ht+1h_{t+1}.

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