What Are the Steps Required to Estimate an ARCH/GARCH Model

question 16

Multiple Choice

What are the steps required to estimate an ARCH/GARCH model?

• A) First specify the appropriate equations for the correlation and the variance, then specify LLF and the computer will generate parameter values that maximise the LLF
• B) First specify the appropriate equations for the median and the variance, then specify LLF and the computer will generate parameter values that maximise the LLF
• C) First specify the appropriate equations for the mean and the variance, then specify LLF and the computer will generate parameter values that maximise the LLF
• D) None of the above

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Definitions:

P-Value

Represents the probability that the observed data would occur by chance in a hypothesis test, used to infer the significance of experimental results.

Poisson Distribution

A statistical distribution predicting the probability of a given number of events happening in a fixed interval of time or space.

Observed Frequencies

The actual number of occurrences of events measured or recorded during a study or experiment.

Normal Distribution

A symmetric bell-shaped frequency distribution that is fully defined by its mean and standard deviation.