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= = 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
Posted: Wed May 11, 2022 6:15 am
by answerhappygod
- 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 25 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 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