Not exactly pin-point accuracy. Previously Two related posts are: A practical introduction to garch modeling garch and long tails Experiment 1000 simulated return series were generated. The garch(1,1) parameters were alpha=.07, beta=.925, omega=.01. The asymptotic variance for this model is 2. The half-life is about 138 days. The simulated series used a Student’s t distribution … Continue reading...