Explain the distinctive features of a T-GARCH model and a GARCH-in-mean model.
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Explain the distinctive features of a T-GARCH model and a GARCH-in-mean model.
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The TGARCH Threshold GARCH model and the GARCHinmean model are both extensions of the standard GARCH Generalized Autoregressive Conditional Heterosked...View the full answer
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Related Book For
Principles Of Econometrics
ISBN: 9781118452271
5th Edition
Authors: R Carter Hill, William E Griffiths, Guay C Lim
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