In comparing the ARCH $( q )$ model with GARCH $( p , q )$ for $p \geq 1$ ,which of the following statements is most likely to be valid?

Question

Quizplus · Accepted Answer

The GARCH model, by incorporating both past squared returns and past variances (through the $p$ and $q$ terms), is designed to capture more persistent volatility in time series data compared to the ARCH model, which only uses past squared returns. This makes the GARCH model more adept at modeling financial time series that exhibit volatility clustering and long memory in volatility.

In Comparing the ARCH (q)( q )(q) Model with GARCH (p,q)( p , q )(p,q)

In Comparing the ARCH $( q )$ Model with GARCH $( p , q )$