Explain the term volatility clustering, Econometrics

Assignment Help:

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?


Related Discussions:- Explain the term volatility clustering

How much will the city raise from issuing bonds, A city government wants to...

A city government wants to raise $3 million by issuing bonds. By ballot proposition, the bond's coupon interest rate was set at 8% per year with semiannual payments. However, marke

Differentiate between linear and log-linear model, Problem: (a) Differe...

Problem: (a) Differentiate between linear and log-linear model. (b) Distinguish between type I and type II errors. (c) (i) A bulb manufacturer claims that its bulbs last

Calculate the sample mean-variance-skewness , The tab-delimited text file c...

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

Equations, Y1=Y21Y2+Bx+U1 Y2=Y21Y1+U2 First equation is demand and second i...

Y1=Y21Y2+Bx+U1 Y2=Y21Y1+U2 First equation is demand and second is supply equation,can first equation be identifiable outline the method

Break-even, how to calculate equilibrium quantity and price

how to calculate equilibrium quantity and price

Heteroscedasticity, How to calculate the presence of Heteroscedasticity usi...

How to calculate the presence of Heteroscedasticity using the Goldfeld-Quandt test

Multicollinearity, if there is multicollinearity so why we can not estimate...

if there is multicollinearity so why we can not estimate the value of parameters?

Measurement error, what are the causes,consequences and remedy of measureme...

what are the causes,consequences and remedy of measurement error?

Transportation problems, Process of least cost method and how to do a minim...

Process of least cost method and how to do a minimisation problem

Demand analysis, demand analysis of fast food among civil servant

demand analysis of fast food among civil servant

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd