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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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