【FRM每日一题】一级:风险管理&定量
备考FRM一级 | 2015-10-10
The following GARCH (1,1) model is used to forecast the daily return variance of an asset:
Suppose the estimate of the volatility today is 6.0% and the asset return is -3.0%. What is the estimate of the long-run average volatility per day?
A.1.12%
B.1.29%
C.1.85%
D.1.91%
Answer: A
相关标签 FRM一级