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Consider the following GARCH(1,1) model yt = + ut, ut ~ N(0,02t) 02t = a0 + alu2t-1+ Bo2t-1 If yt is a daily stock
Consider the following GARCH(1,1) model yt = + ut, ut ~ N(0,02t) 02t = a0 + alu2t-1+ Bo2t-1 If yt is a daily stock return series, what range of values are likely for the coefficients , ao, a1, ?
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Elementary Statistics
Authors: Robert R. Johnson, Patricia J. Kuby
11th Edition
978-053873350, 9781133169321, 538733500, 1133169325, 978-0538733502
