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Although the ARCH(1) model implies heavy tails and volatility clustering, it does not in practice generate enough of either. Which of the following is/are true
Although the ARCH(1) model implies heavy tails and volatility clustering, it does not in practice generate enough of either. Which of the following is/are true for the ARCH(p) model? Select one: a. There are less inequality restrictions that should be imposed in order to guarantee positivity of the conditional variance process than GARCH(1,1) model b. None of the options O c. The ARCH(p) model for p big does a bit better but at a price in terms of parsimony, which badly effects estimation O d. All of the options e. ARCH(P) is equivalent to the GARCH(1,1) model
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