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Problem:
(a) Write down the equation for symmetric GARCH and clearly explain its components.
(b) Explain the term ‘volatility clustering'.
(c) How would you model leverage effects in equation you mentioned in (a) and why do they manifest?
(d) How would you decide whether a time series data set requires GARCH modelling?
The tab-delimited text file contains daily stock prices for the Brazilian petroleum company Petrobras from 31 December 2008 to 31 December 2009. The data were obtained from yahoo f
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effect on of multicollinearity.
You are considering a new line of consumer products. You expect revenues of $14 million in each of the next ten years, while expenses are half of revenues (all cash flows are assum
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What is the expected value and variance of y = 3x+2 knowing that E(X) = 8 and var(X) = 4.
i need help in project
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