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when σˆt+1|t2<σ¯2image, that is, starting from a relatively low level of predicted variance (0.0095), as it was the case in US bond markets at the end of 2016. Because in this example, the estimated persistence index αˆ+βˆ=0.99image is relatively high, the convergence of predicted variance to σ¯2=0.0144image takes many weeks, approximately 250 (e.g., 1(0.06 ...

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