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Exam Review Question Derive three stepahead forecasts for a. GARCH(2,1) model at the forecast origin h (for a general positive integer h), i.e, compute U+3|M

Exam Review Question

Derive three stepahead forecasts for a. GARCH(2,1) model at the forecast origin h (for a general positive integer h), i.e, compute U+3|M where a GARCH(2,1) model is given by 2 2 2 2 0r, = 0:0 + mag1 + 02022 + 51021

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