Validation of GARCH model assumptions
A complete GARCH analysis requires to not only specify and estimate the model, but also to validate it. One can do this by analyzing the estimation output in terms of parameter estimates and likelihood, but also by analyzing the standardized returns.
Which of the following properties does not hold in case of a valid GARCH model?
This exercise is part of the course
GARCH Models in R
Hands-on interactive exercise
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