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Please answer the following questions in detail, provide in-text citations in support of your argument. Explicate GARCH time series models and include situations in which
Please answer the following questions in detail, provide in-text citations in support of your argument.
- Explicate GARCH time series models and include situations in which these models are applicable.Provide a simple example of creating GARCH models based on the time series difference equations.
- The stats package of R contains the daily closing prices of four major European stock indices; type help (EuStockMarkets) for details. Fit a GARCH model to the returns of one of these series and discuss your findings. (Note: The data set contains actual values, and not returns. Hence, the data must be transformed prior to the model fitting.)
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