Explain the term PGARCH as of the GARCHs family
Explain the term PGARCH as of the GARCH’s family.
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PGARCH: It is power GARCH. In this model the variance is raised to a power but zero (logarithm), one (AGARCH) or two. Such model can have the long memory; slow decay of volatility appears in practice.
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Give an example of closed form solution?
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How is GARCH determined?
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