Which of the Following Are NOT Features of an IGARCH(1,1)

question 13

Multiple Choice

Which of the following are NOT features of an IGARCH(1,1) model?
(I) Forecasts of the conditional variance will converge upon the unconditional variance as the horizon tends to infinity
(ii) The sum of the coefficients on the lagged squared error and the lagged conditional variance will be unity
(iii) Forecasts of the conditional variance will decline gradually towards zero as the horizon tends to infinity
(iv) Such models are never observed in reality

• A) (ii) only
• B) (ii) and (iv) only
• C) (ii), (iii) and (iv) only
• D) (i), (ii), (iii) and (iv)

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Definitions:

FMV

Fair Market Value, the price at which a property would sell under normal conditions.

Basis

The amount of investment in property for tax purposes, used to calculate gain or loss on the sale, exchange, or other disposition of the property.

Cash Distribution

Cash Distribution is the payment of funds from a corporation or a financial institution to a shareholder or account holder, often from profits or interest earnings.

Partnership Interest

The share or portion of a partnership's profits and losses that is attributed to each partner.