4. Estimate an NGARCH(1,1) model for the two assets. Standardize each return using its GARCH standard deviation.

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Elements Of Financial Risk Management

ISBN: 9780128102350

2nd Edition

Authors: Peter Christoffersen

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Question Posted: Oct 19, 2024 12:00 PM

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4. Estimate an NGARCH(1,1) model for the two assets. Standardize each return using its GARCH standard deviation.
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4. Estimate an NGARCH(1,1) model for the two assets. Standardize each return using its GARCH standard deviation.

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Elements Of Financial Risk Management

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