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Explain the term NGARCH as of the GARCH’s family.

Explain the term NGARCH as of the GARCH’s family.

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NGARCH

vn = (1 - α - β)w0 + βvn-1 + α(Rn-1 - γ√(vn-1))2.

This is same to GARCH (1,1) other than the parameter γ permits correlation among the stock and volatility processes.

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