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MMLU / Which of the following statements are true concerning the standardised residuals…

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 the standardised residuals (residuals divided by their respective conditional standard deviations) from an estimated GARCH model?

i) They are assumed to be normally distributed


ii) Their squares will be related to their lagged squared values if the GARCH model is

appropriate


iii) In practice, they are likely to have fat tails


iv) If the GARCH model is adequate, the standardised residuals and the raw residuals

will be identical

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
e431e781-4585-5960-a36c-b86f270f53bb
task_key
all--test--e431e781-4585-5960-a36c-b86f270f53bb
task_revision_id
1
config / split
all / test

Official source

initial import