GARCH models
A) Are discrete-time expressions of stochastic volatility models.
B) Are designed to capture the empirically-observed leverage effect in equity returns.
C) Are models in which volatility is not separately stochastic but evolves in a manner dependent on the stock return process.
D) Are useful for describing stock returns empirically but not for pricing options on equity.

Question

Quizplus · Accepted Answer

The Answer of GARCH models
A) Are discrete-time expressions of stochastic volatility models.
B) Are designed to capture the empirically-observed leverage effect in equity returns.
C) Are models in which volatility is not separately stochastic but evolves in a manner dependent on the stock return process.
D) Are useful for describing stock returns empirically but not for pricing options on equity.

GARCH Models