problem 1:
prepare down the equation for the symmetric GARCH and clearly describe its components.
problem 2:
Illustrate the term ‘volatility clustering’.
problem 3:
How would you model leverage effects in equation you mentioned in (a) and why do they manifest?
problem 4:
How would you decide whether a time series data set needs GARCH modelling?
problem 5:
Using exs illustrate the concept of cointegration.
problem 6:
Illustrate the term ‘stationarity’ and its importance.
problem 7:
Make a distinction between stochastic and deterministic trends?