Week 2 Flashcards
What is the standard estimation method of a GARCH model?
What technique is used to create a likelihood function of a GARCH model?
Factorization of the likelihood function of (G)ARCH models
What is usually done with the p(y_1; θ) when optimizing the likelihood function of a(n) (G)ARCH model?
It is often unknown and ignored.
What is the log-likelihood of an ARCH(1) model?
What is the log-likelihood of a GARCH(1,1) model?
What is the definition of the MLE?
What are the asymptotic properties of the ML estimator?
Name two
What is the Fisher Information matrix?
How is the ML estimated theta distributed?
What is an approximation for the Fisher information matrix?
How is Omega hat computed? What is it used for?
How are the standard errors & confidence intervals computed?
From Omega hat
What is used to minimize the log-likelyhood of a (G)ARCH model?
A numerical optimizer such as the Newton-Rapson algorithm.
What does filter mean?
Estimate
What are 4 possible reasons a GARCH(p,q) model is not appropriate?
What are the two types of tests for (G)ARCH models? What are they testing?
What is the simple homoscedasticy test?
What is the normality test?
How do you do model selection?
What is VaR? What does it stand for?
What is the conditionar VaR?
From a GARCH model
How do we forcecast conditional volatility?
Give a derivation
Derive the conditional volatility forecast of an ARCH(1) model.
Give the conditional volatility forecast formula of an GARCH(1,1) model.
What is the forecasted conditional density?
For h = 1; of a (G)ARCH model
How do we get the forecasted conditional density?
For h > 1
