The asymmetric GARCH model was developed to mimic the following feature of other models that is not captured in the standard GARCH formulation:

Question

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The asymmetric GARCH model was developed to capture the skewness in returns that is not captured in the standard GARCH formulation. It allows for the possibility that positive and negative shocks to returns may have different impacts on volatility, resulting in an asymmetry in the distribution of returns.

The Asymmetric GARCH Model Was Developed to Mimic the Following