--%>

What are the difficulties GARCH contained

What are the difficulties GARCH contained?

E

Expert

Verified

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).

   Related Questions in Financial Management

  • Q : $-£ currency swap Assume Morgan

    Assume Morgan Guaranty, Ltd. is quoting swap rates as follows: 7.75 - 8.10 percent annually against six-month dollar LIBOR for dollars and 11.25 - 11.65 percent annually against six-month dollar LIBOR for British pound sterling. At what rates will Morgan Gua

  • Q : Illustrates example of mathematics in

    Give an example of different types of mathematics found in Quantitative Finance?

  • Q : Method to choose the members of the

    What are the ways to choose the members of the board of directors of a corporation? Who do these board members owe their primary allegiance?

  • Q : Determine level of sales to achieve-

    Hebner Housing Corporation consist of forecast the given numbers for the upcoming year as follows: • Net income = 180,000. • Sales = $1,000,000. &b

  • Q : Example of Margin Hedging in

    Explain an example of Margin Hedging in Metallgesellschaft and Long Term Capital Management.

  • Q : What is backward equation What is

    What is backward equation?

  • 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 : What is Platinum Hedging What is

    What is Platinum Hedging?

  • Q : Kareem construction Show how Kareem's

    Show how Kareem's WACC would change if the tax rate dropped to 25 percent and the estimated cost of equity capital were based on a risk-free rate of 7 percent, a market risk premium of 8 percent, and a systematic risk measure or beta of 2.0.

  • Q : Explain the term REGARCH as of the

    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