1. Suppose you have estimated GARCH (1, 1) model from daily returns of a stock. The annualized representation (such that the volatility, i.e., square root of variance, is in percentages) of the estimated model is(σt)^2=11.25+0.05*(ut-1)^2+0.90*(σt-1)^2
a.)What is the unconditional volatility (unconditional standard deviation) of the series?
b.)Find predicted volatility two days ahead (i.e., for t+2), if current volatility, σt=18%, and ut= - 0.4%.

2. Suppose that Yt~WN(0,σ^2) (white noise)
a.)What is the first order autocorrelation of Yt?
b.)Compute the first order autocorrelation of the differenced series ΔYt.


基础薄弱的菜鸟求助，6个币祝大家学习六六大顺哈！
两题请给出详解，先谢过了！~