Exercise 10.7 Two models for the log-returns of Apple were not rejected: GARCH(1,1) with GED innovations, and

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Exercise 10.7 Two models for the log-returns of Apple were not rejected: GARCH(1,1)

with GED innovations, and a regime-switching model with three Gaussian regimes. Which one would you choose? Motivate your choice.

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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 07:00 AM

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Exercise 10.7 Two models for the log-returns of Apple were not rejected: GARCH(1,1) with GED innovations, and

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Statistical Methods For Financial Engineering

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