The Asymmetric GARCH Model Was Developed to Mimic the Following

question 23

Multiple Choice

The asymmetric GARCH model was developed to mimic the following feature of other models that is not captured in the standard GARCH formulation:

• A) Mean reversion in returns.
• B) Persistence in returns.
• C) Skewness in returns.
• D) Kurtosis in returns.

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