Exercise 7.1 For the EGARCH, NGARCH, and GJR-GARCH models, find sufficient conditions for the lack of memory
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Exercise 7.1 For the EGARCH, NGARCH, and GJR-GARCH models, find sufficient conditions for the lack of memory property, i.e., for two processes with the same innovations but starting from different points, the difference of their respective conditional variances Ļ2n
ā v2n converge to 0, as nāā.
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Statistical Methods For Financial Engineering
ISBN: 9781032477497
1st Edition
Authors: Bruno Remillard
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