Q.No.3 Auto-regressive conditional heteroskedasticity (ARCH) models are used to model dynamic variances. How the standard ARCH model is modified to accommodate for the following changes: 1. Asymmetric effects 2. Time-Varying risk premium Derive mathematically and briefly discuss interpretation of the model.

Q.No.3 Auto-regressive conditional heteroskedasticity (ARCH) models are used to model dynamic variances. How the standard ARCH model is modified to accommodate for the following changes: 1. Asymmetric effects 2. Time-Varying risk premium Derive mathematically and briefly discuss interpretation of the model.

Microeconomic Theory

12th Edition

ISBN:9781337517942

Author:NICHOLSON

Publisher:NICHOLSON

Chapter7: Uncertainty

Section: Chapter Questions

Problem 7.6P

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