Which of the following is true
A) GARCH models incorporate mean reversion; EWMA models do not
B) EWMA models incorporate mean reversion; GARCH models do not
C) Both GARCH and EWMA models incorporate mean reversion
D) Neither GARCH nor EWMA models incorporate mean reversion
Correct Answer:
Verified
Q2: Which of the following is true of
Q3: Which of the following is true
A) EWMA
Q4: At the end of Thursday,the estimated volatility
Q5: The parameters in a GARCH (1,1)model are:
Q6: The parameters in a GARCH (1,1)model are:
Q8: Which of the following is true
A) All
Q9: Which of the following is true
A) GARCH
Q10: What does EWMA stand for?
A) Equally weighted
Q11: At the end of Thursday,the estimated volatility
Q12: At the end of Thursday,the estimated covariance
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