Explain the term volatility clustering, Econometrics

Assignment Help:

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?


Related Discussions:- Explain the term volatility clustering

Impulse Response function (IRF), My question is that when we use Impulse re...

My question is that when we use Impulse response function and how to use it. Is it used along with some other methodology. What is the meaning of graphs of IRF?

Dropout equation - unemployment variable, Consider the following equations ...

Consider the following equations designed to estimate  a school's test scores (Test) and the school's dropout rate (Drop). Test i = B 0 + B 1 *Parent Ed i + B 2 *school quali

Correlation and rank correlation, Explain the difference among the usual (p...

Explain the difference among the usual (product moment) correlation and rank correlation. In what situations is it more appropriate to use rank correlation?

Multicollinearity, if there is multicollinearity so why we can not estimate...

if there is multicollinearity so why we can not estimate the value of parameters?

estimate the model and regression, Question: The data needed to answer...

Question: The data needed to answer this question are in Assignment3.dat, which is a subset of a larger dataset on wages and attributes of husband and wives in American househo

Long-run equilibrium solution, Suppose a small open economy is characterise...

Suppose a small open economy is characterised by the following equations/information:             Y =6K 0 L 1-α             K 0 = 30,000             L 0 = 10,000

Demand functions for the two products , The  firm  is  considering  manufac...

The  firm  is  considering  manufacturing  a  second  product  in  its  factory alongside the first. The demand functions for the two products are: Q d1 =180 - 4P 1 Q d2 =90

Role , what is role of education in economic development?

what is role of education in economic development?

Transportation problems, Process of least cost method and how to do a minim...

Process of least cost method and how to do a minimisation problem

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd