Asset return series tend to exhibit conditional heteroscedasticity. The GARCH models are often used to handle conditional
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Asset return series tend to exhibit conditional heteroscedasticity. The GARCH models are often used to handle conditional heteroscedasticity.
Consider the SPY daily log returns of previous problem. The second column of the file SPY0717.txt shows the standardized residuals of a fitted AR(1)-GARCH(1,1) model with standardized Student-t innovations. Does the standardized residual series consist of independent and identically distributed random variables? Why?
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