【風(fēng)險(xiǎn)管理基礎(chǔ)&定量分析】FRM一級(jí)每日一題
Which of the following GARCH models will take the longest time to revert to its mean?
A. .png)
B. .png)
C. .png)
D. .png)
Answer: A
The model that will take the longest time to revert to its mean is the model with the highest persistence defined by.png)
. So A is the right answer with
.
