3099统计简单derivationmedium
Volatility Update from a Moderate Return
题目
In a GARCH(1,1) model with , , and , suppose the current squared return is and the current conditional variance is . Compute .
解题计时
0:00
提交作答时记录,用于后续平均用时统计。
你的答案
题目
In a GARCH(1,1) model with , , and , suppose the current squared return is and the current conditional variance is . Compute .
解题计时
0:00
提交作答时记录,用于后续平均用时统计。
你的答案