Vector autoregression model

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Reference no: EM131481149

Critically explain the following econometric models:

a. Vector Autoregression Model (VAR)

b. Generalized Autoregression Conditional Heteroskedasticity Model (GARCH)

c. Exponential Generalized Autoregression Conditional Heteroskedasticity Model (EGARCH)

d. Generalized Autoregression Conditional Heteroskedasticity in Mean Model (GARCH-M)

Reference no: EM131481149

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