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MMLU / Which of the following statements are true concerning a comparison between…

Problem

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

question

Which of the following statements are true concerning a comparison between ARCH(q) and GARCH(1,1) models?

i) The ARCH(q) model is likely to be the more parsimonious


ii) The ARCH(q) model is the more likely to violate non-negativity constraints


iii) The ARCH(q) model can allow for an infinite number of previous lags of squared

returns to affect the current conditional variance


iv) The GARCH(1,1) model will usually be sufficient to capture all of the dependence

in the conditional variance

choices

  1. (ii) and (iv) only
  2. (i) and (iii) only
  3. (i), (ii), and (iii) only
  4. (i), (ii), (iii), and (iv)

subject

econometrics

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Source and history

task_id
7c36edcc-2edb-55be-b3a9-f37f9cf667a6
task_key
all--test--7c36edcc-2edb-55be-b3a9-f37f9cf667a6
task_revision_id
1
config / split
all / test

Official source

initial import