Review GARCH model basics
Given the GARCH(1,1) model equation as:
Intuitively, GARCH variance forecast can be interpreted as a weighted average of three different variance forecasts. One is a constant variance that corresponds to the long run average. The second is the new information that was not available when the previous forecast was made. The third is the forecast that was made in the previous period. The weights on these three forecasts determine how fast the variance changes with new information and how fast it reverts to its long run mean.
Which of the following statements is incorrect?
Diese Übung ist Teil des Kurses
GARCH Models in Python
Interaktive Übung
Setze die Theorie in einer unserer interaktiven Übungen in die Praxis um
Übung starten