Financial Econometrics Homework 5

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(4 points) Find an appropriate GARCH model for the KOSPI index returns during the period 2021:01:02-2021:12:30 (on the basis of daily, closing prices).1 Examine whether the coe¢ cient estimates are signi…cant at the conventional signi…cance levels. Installing arch package for Python: 1. Select Anaconda prompt 2. Put command “conda install -c bashtage arch” and run…

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  1. (4 points) Find an appropriate GARCH model for the KOSPI index returns during the period 2021:01:02-2021:12:30 (on the basis of daily, closing prices).1 Examine whether the coe¢ cient estimates are signi…cant at the conventional signi…cance levels.

  • Installing arch package for Python: 1. Select Anaconda prompt

2. Put command “conda install -c bashtage arch” and run it.

Financial Econometrics Homework 5
$24.99 $18.99