Question: Explain the differences between GARCH(1,1) and EWMA for modelling volatility. Give examples when it would be more appropriate to use GARCH(1,1) and when to use

Explain the differences between GARCH(1,1) and EWMA for modelling volatility. Give examples when it would be more appropriate to use GARCH(1,1) and when to use EWMA.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!