Johns Hopkins University

BU.232.630.F3.SP25 Quiz 3 2025

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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 ...

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