What are the difficulties GARCH contained
What are the difficulties GARCH contained?
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These difficulties can be related with:
• having inadequate data• The (log) likelihood function being extremely ‘flat’ regarding the parameters, so thence t the maximum is insensitive to the parameter values• Calculating the wrong model, including having more many parameters (the best model may be simpler than you imagine).
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Explain the term REGARCH as of the GARCH’s family. Answer: REGARCH: It is a Range-based Exponential GARCH. It models the low to high ran
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