Derive multistep-ahead forecasts for a (operatorname{GARCH}(2,1)) model at the forecast origin (h).

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Derive multistep-ahead forecasts for a $\operatorname{GARCH}(2,1)$ model at the forecast origin $h$.

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Analysis Of Financial Time Series

ISBN: 9780470414354

3rd Edition

Authors: Ruey S. Tsay

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Question Posted: May 07, 2024 12:00 PM

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Derive multistep-ahead forecasts for a (operatorname{GARCH}(2,1)) model at the forecast origin (h).

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Analysis Of Financial Time Series

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