Show that the kurtosis in an ordinary GARCH(1,1)-model is K=3- 1- (a + B)? 1- 2a2
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Show that the kurtosis in an ordinary GARCH(1,1)-model is
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K=3- 1- (a + B)? 1- 2a2 – (a + B)?
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The kurtosis is defined as the fourth standardized moment of a distribution which can be expressed a...View the full answer
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