- 6 2 Consider An Ar 1 Garch 1 1 Model Rt Ort 1 Ut Ut Ot T O W Au 1 Bo 1 Where Are Et I I D Standar 1 (46.84 KiB) Viewed 56 times
6.2. Consider an AR(1)-GARCH(1, 1) model rt = ort_1 + Ut, Ut = Ot€t, o² = w+ au²_1 + Bo² _1, where are Et i.i.d. standar
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6.2. Consider an AR(1)-GARCH(1, 1) model rt = ort_1 + Ut, Ut = Ot€t, o² = w+ au²_1 + Bo² _1, where are Et i.i.d. standar
6.2. Consider an AR(1)-GARCH(1, 1) model rt = ort_1 + Ut, Ut = Ot€t, o² = w+ au²_1 + Bo² _1, where are Et i.i.d. standard normal random variables. (a) Derive the log-likelihood function of the data. (b) Derive the skewness and kurtosis of rt.
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