Which of the following is true
A) GARCH (1,1) will always give a maximum likelihood at least as high as EWMA
B) EWMA will always give a maximum likelihood at least as high as GARCH (1,1)
C) The maximum likelihood is the same for GARCH (1,1) and EWMA
D) Sometimes A is true and sometimes B is true.

Question

Quizplus · Accepted Answer

EWMA is the particular case of GARCH (1,1)when the omega parameter is zero.It follows that GARCH (1,1)must give at least as good a fit to the data as EWMA.

Which of the Following Is True