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Free FRM Part II Exam Mock Exam
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Question 1 of 10⏱ 08:00
A GARCH(1,1) model in squared percent units has omega 0.02, alpha 0.08 and beta 0.90. Yesterday's return was minus 3 percent and yesterday's conditional variance was 2.0. A risk analyst needs today's variance forecast for the limit report. What is it?
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