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6029统计中等derivationmedium

News-Impact Update from a Signed Return

题目

A GARCH(1,1) has ω=0.00001\omega=0.00001, α=0.08\alpha=0.08, β=0.90\beta=0.90. Today's conditional variance is ht=0.0004h_t=0.0004 and today's return is rt=0.03r_t=-0.03. Compute tomorrow's conditional variance ht+1h_{t+1} as a decimal.

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