Financial Risk Manager Part 1
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A junior risk analyst is modeling the volatility of a certain market variable. The analyst considers using either the EWMA or the GARCH (1,1) model. Which of the following statements is correct?
A junior risk analyst is modeling the volatility of a certain market variable. The analyst considers using either the EWMA or the GARCH (1,1) model. Which of the following statements is correct?
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The EWMA model is a special case of the GARCH (1,1) model with the additional assumption that the long-run volatility is zero.
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