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