2012 practice question

[Deepak Chitnis]

Hi @David Harper CFA FRM CIPM, In 2012 practice exam P1.M1. (explanation on page no.17) there is question on GARCH(1,1) model question like follows:

I think that the estimate of today's volatility should be 2.910326% not the 3.47851% as explained above correct me if I am wrong.
Thank you

 

[Nicole Seaman]

Hello @Deepak Chitnis

All of our practice questions are derived from Bionic Turtle's daily practice questions so you can always use a few words from the question to enter in the search box to find the original practice question post. Here is the original post, which has a comment from David stating that the estimate of today's volatility was incorrect, as you've pointed out here. It looks like it was not fixed in the pdf if your question has derived from the published practice exam. You will always find that many questions are posted on the original forum threads that were created, and that is the best place to find answers to your questions like this so you don't need to wait for someone to answer.

Thank you,

Nicole

 

[Deepak Chitnis]

Hi @Nicole Manley, Thank you for the clarification