2. Construct a MATLAB function to simulate a E-GARCH, a NGARCH, a GARCH-M, and a GJR-GARCH. The...

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2. Construct a MATLAB function to simulate a E-GARCH, a NGARCH, a GARCH-M, and a GJR-GARCH. The innovations can be either Gaussian or GED.

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Statistical Methods For Financial Engineering

ISBN: 9781032477497

1st Edition

Authors: Bruno Remillard

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Question Posted: Oct 26, 2024 06:01 AM

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2. Construct a MATLAB function to simulate a E-GARCH, a NGARCH, a GARCH-M, and a GJR-GARCH. The...

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Statistical Methods For Financial Engineering

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