--%>

Explain the term NGARCH as of the GARCH’s family.

Explain the term NGARCH as of the GARCH’s family.

E

Expert

Verified

NGARCH

vn = (1 - α - β)w0 + βvn-1 + α(Rn-1 - γ√(vn-1))2.

This is same to GARCH (1,1) other than the parameter γ permits correlation among the stock and volatility processes.

   Related Questions in Financial Management

  • Q : Who proposed the concept of market

    Who proposed the concept of market efficiency?

  • Q : Define the term Leveraged Buy-Out or LBO

    Leveraged Buy-Out (LBO): It is a specific kind of acquisition in which the takeover of the controlling interest in a company is prepared by employing a noteworthy amount of borrowed capital from the banks and or capital markets. Inter

  • Q : Illustrates an example of term

    Illustrates an example of term bootstrapping? Answer: know the market prices of bonds all along with one, two three or five years to maturity. So, you are asked to v

  • Q : Probabilities in a coin-one thousand

    Explain an example of probabilities in a simple coin-tossing experiment one thousand tosses.

  • Q : State the term Calibration in financial

    State the term Calibration in financial model?

  • Q : Compute minimum price with striking

    Suppose spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. Estimate the minimum price which a six-month American call option along with a striking price of $0.6800 must sell for in a rational market? Suppose the annualized six-month Eurod

  • Q : Difference between two tier market for

    Describe difference between the retail or client market and the wholesale or interbank market for foreign exchange?The market for foreign exchange can be distinguished as two-tier market. One tier is the wholesale or interbank market and the ot

  • Q : Primary variables are balanced in the

    What are the primary variables being balanced in the EOQ inventory model?

  • Q : Implicit SF-$ exchange rate at maturity

    Consider 8.5 % Swiss franc/U.S. dollar dual currency bonds which pay $666.67 at maturity per SF1,000 of par value.  Describe implicit SF/$ exchange rate at maturity?  Will the investor be better or worse off at maturity if the real SF/$ exchange rate

  • Q : An example of probabilities in a

    Illustrates an example of probabilities in a simple coin-tossing experiment.