Which of the following is true
A) EWMA is a particular case of GARCH (1,1) where the reversion rate is zero
B) EWMA has a lower reversion rate than GARCH (1,1) , but it is not zero
C) EWMA has a higher reversion rate than GARCH (1,1)
D) Sometimes EWMA has a higher reversion rate than GARCH (1,1) and sometimes it has a lower reversion rate than GARCH (1,1) .
Correct Answer:
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Q1: The parameters in a GARCH (1,1)model are:
Q2: Which of the following is true of
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:
Q7: Which of the following is true
A) GARCH
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
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