George Mason University Operations And Supply Chain Management Assignment Help - The GARCH model
Question - The GARCH model is useful for simulating asset returns. Which of the following statements about
this model is false?
A. The Exponentially W eighted Moving Average (EWMA) approach of
RiskMetrics is a particular case of a GARCH process.
B. The GARCH allows for time-varying volatility.
C. The GARCH can produce fat tails in the return distribution.
D. The GARCH imposes a positive conditional mean return.
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