第八章The volatility of an asset is 2% per day. What is the standard deviation of the percentage price change in five days?（ ）
答案:4.47%
The parameters of a GARCH(1,1) model are estimated as ω=0.000004, α=0.05, and β=0.92. What is the long-run average volatility?（ ） Suppose that the price of an asset at close of trading yesterday was $300 and its volatility was estimated as 1.3% per day. The price at the close of trading today is $298. What is the new daily volatility using the GARCH(1,1) model with ω=0.000002, α=0.04, and β=0.94?（ ） A variance estimate from the GARCH(1,1) model is always between the prior day's estimated variance and the prior day's squared return.（ ）GARCH(1,1) is consistent with a mean-reverting variance rate model.（ ）
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