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Problem:
(a) Write down the equation for symmetric GARCH and clearly explain its components.
(b) Explain the term ‘volatility clustering'.
(c) How would you model leverage effects in equation you mentioned in (a) and why do they manifest?
(d) How would you decide whether a time series data set requires GARCH modelling?
the demand for blankets has been estimated y^=0.5-1.5x2+3.0x3
Which of the following is an example of derived demand?
What is the expected value and variance of y = 3x+2 knowing that E(X) = 8 and var(X) = 4.
Show which of the following are cross-section data, giving the reasons. (i) Wages of individual workers in the UK chemical industry in 2009. (ii) Annual growth rates of eve
The following regression was estimated to explain the inflation rate in the USA. The data set contains annual observations from 1970 to 2010. Inft = 2500 + 50*Xt +
(b) Suppose that the initial conditions are as follows: y0 = 0 and et = 0 for t= 0. Impose the initial conditions in order to find the general solution.
Students in the red/black card game had to make individual deals. How would the situation change if they could bargain collectively?
write a term paper on modelling and multicollinearity
Assume the following table gives the joint PDF (probability distribution function, not Adobe document!!) of two discrete variables, x and Y. Vari
Problem: (a) Write down the equation for symmetric GARCH and clearly explain its components. (b) Explain the term ‘volatility clustering'. (c) How would you model leverag
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