Q.No.3 Auto-regressive conditional heteroskedasticity (ARCH) models are used to model dynamie variances. How the standard ARCH model is modified to accommodate for the following changes: 1. Asymmetric...


Q.No.3 Auto-regressive conditional heteroskedasticity (ARCH) models are used to model dynamie<br>variances. How the standard ARCH model is modified to accommodate for the following changes:<br>1. Asymmetric effects<br>2. Time-Varying risk premium<br>Derive mathematically and briefly discuss interpretation of the model.<br>

Extracted text: Q.No.3 Auto-regressive conditional heteroskedasticity (ARCH) models are used to model dynamie variances. How the standard ARCH model is modified to accommodate for the following changes: 1. Asymmetric effects 2. Time-Varying risk premium Derive mathematically and briefly discuss interpretation of the model.

Jun 07, 2022
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