Volatility Modelling - ARCH Flashcards
1
Q
Volatility Clustering
A
the fact that large returns (in absolute value) tend to be followed by large returns (in absolute value), and vice versa.
2
Q
A
3
Q
A
4
Q
A
5
Q
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6
Q
A
7
Q
A
8
Q
ARCH(1)
k-step-ahead variance forecast
A
