The Duan-model is a modified version of the GARCH-in-mean specification where again ? t = ?h t
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The Duan-model is a modified version of the GARCH-in-mean specification
where again ?t = ?htzt, and zt ? N(0, 1). Show that under the asymmetric variance dynamics
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Ax, = µ + Ah, + E %3D
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Ah 1 0 1 Ah 2 z t t 2 Ah where 0 1 and 2 are the param...View the full answer
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