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A Stock Has a Historical Volatility of 39

Question 11

Multiple Choice

A stock has a historical volatility of 39%.The data shows significantly increased volatility in recent data and significantly lower volatility in older data.The implied estimate of the unconditional volatility using the GARCH model is most likely to be which of the following?


A) 12%
B) 25%
C) 45%
D) 85%

Correct Answer:

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