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

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