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 = ?h_tz_t, and z_t ? N(0, 1). Show that under the asymmetric variance dynamics

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 09:39 AM

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The Duan-model is a modified version of the GARCH-in-mean specification where again ? t = ?h t

Question:

Ax, = µ + Ah, + E %3D

Step by Step Answer:

Ah 1 0 1 Ah 2 z t t 2 Ah where 0 1 and 2 are the param...View the full answer

A First Course in Quantitative Finance

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