BU.232.630.W6.SP25 Quiz 3

Consider the following GARCH(1,1) model for the volatility of asset returns rt: rt=α+βrt−1+εt εt= √ ht ut ht=μ+δht−1+ϕε 2 t−1 𝔼t−1(ut)=0 𝔼t−1(u 2 t )=1 You estimated the following values for the ...