Explanation:
Statement A is INCORRECT because:
For the other statements:
The key difference is that GARCH(1,1) includes a long-run variance component while EWMA does not.
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A
In the exponentially weighted moving average (EWMA) model, some positive weight is assigned to the long-run average variance.
B
In the EWMA model, the weights assigned to observations decrease exponentially as the observations become older.
C
In the GARCH (1,1) model, a positive weight is estimated for the long-run average variance.
D
In the GARCH (1,1) model, the weights estimated for observations decrease exponentially as the observations become older.