Volatility modeling
10 important questions on Volatility modeling
Is the nested model always the restricted model?
Explain the difference between unconditional and conditional volatility
conditional: volatility over a specific period
How do the EWMA model and JP Morgan's RiskMetrics model differ?
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What is the relevance of the GARCH (EWMA) models compared to the MA model?
EWMA & GARCH weights exponentially decline for past values.
Derive the unconditional volatility of the GARCH (1,1) model starting from: σ^2 = E[σt ]
Provide a quick explanation of ML estimation
List the steps of ML parameter estimation for a GARCH model
Which 2 tests do we use to assess an estimated GARCH model?
2. Residual analysis
What is the difference between the Jarque-Bera test and the Ljung-Box test?
Ljung-Box test --> testing for autocorrelation
What does it mean for volatility to be "deterministic"?
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