14. Generalized autoregressive conditional heteroscedasticity (GARCH) models can be used to capture the time series characteristic of

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14. Generalized autoregressive conditional heteroscedasticity (GARCH)

models can be used to capture the time series characteristic of yield volatility in which a period of high volatility is followed by a period of high volatility and a period of relative stability appears to be followed by a period that can be characterized in the same way.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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