Financial Risk Manager Part 1
Get started today
Ultimate access to all questions.
Comments
Loading comments...
Ultimate access to all questions.
Which of the following four statements on models for estimating volatility is INCORRECT?
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.