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Exercise

Analyzing estimation output

The video has shown the analysis of goodness of fit in case of the Microsoft returns. Let's do a similar exercise for the daily EUR/USD returns. You need to analyze the estimation output for an AR(1)-GJR GARCH model with skewed student t distribution and then decide whether we need such a flexible model with AR(1) dynamics in the mean and leverage effect in the variance.

Instructions 1/3

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  • Complete the code to estimate an AR(1) GJR GARCH model with skewed student t distribution.
  • Estimate the model.