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MMLU-Pro / 7251 / Which of the following criticisms of standard ("plain vanilla") GARCH models can…

Problem

Answer published by the source. Consult the official source to check your work against its answer.

question

Which of the following criticisms of standard ("plain vanilla") GARCH models can be overcome by EGARCH models?

i) Estimated coefficient values from GARCH models may be negative

ii) GARCH models cannot account for leverage effects

iii) The responsiveness of future volatility to positive and negative shocks is symmetric under a GARCH formulation

iv) GARCH models cannot allow for a feedback from the volatility to the returns

category

economics

options

  1. (iii) and (iv) only
  2. (i), (iii), and (iv) only
  3. (i) and (iii) only
  4. (ii), (iii), and (iv) only
  5. (i), (ii), and (iii) only
  6. (ii) and (iv) only
  7. (ii) and (iii) only
  8. (i), (ii), (iii), and (iv)
  9. (i) and (iv) only
  10. (i) and (ii) only

src

ori_mmlu-econometrics

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Source and history

upstream_id / Original problem ID
7251
task_id
4ec7425a-fb34-5bac-97a1-b7dab711ed27
task_key
default--test--7251
task_revision_id
1
config / split
default / test

Official source

initial import