- A Which Of The Following Is Not True For Arch 1 Model Az 07 4 0 Do Anak 1 Where Et Has Mean 0 And Varian 1 (23.1 KiB) Viewed 24 times
= = a. Which of the following is not true for ARCH(1) model (az = 07€4,0% = do + anak-1), where Et has mean 0 and varian
-
answerhappygod
- Site Admin
- Posts: 899604
- Joined: Mon Aug 02, 2021 8:13 am
= = a. Which of the following is not true for ARCH(1) model (az = 07€4,0% = do + anak-1), where Et has mean 0 and varian
= = a. Which of the following is not true for ARCH(1) model (az = 07€4,0% = do + anak-1), where Et has mean 0 and variance 1? mean E (ar) = 0 b. variance Var(ar) = /(1 - 1) if 0 < a < 1 C. generates heavy tails under some parameter conditions d. generates asymmetry between positive and negative prior returns
Join a community of subject matter experts. Register for FREE to view solutions, replies, and use search function. Request answer by replying!