In the Eviews file simulacion_garch(1,1).wf1 of the practices of…
Question Answered step-by-step In the Eviews file simulacion_garch(1,1).wf1 of the practices of… In the Eviews file simulacion_garch(1,1).wf1 of the practices of Topic 2, two GARCH(1,1) processes are generated; one of low persistence and the other of high persistence. In both cases, the equation of the conditional mean is the same and its unconditional mean is 1. Calculate the descriptive statistics of the 2 processes, the graphs of the time evolution of the series and the graphs of the conditional standard deviation of the processes. Also obtain the correlograms of the square of the series and in the 2 processes. What differences can you observe with respect to the 2 processes through the previous work? Calculate the persistence of the process as ?/(1-?) in the 2 cases and the unconditional variance as ?/(1-?-?). Collect all this in 2 files: a pdf with the comments and outputs from Eviews and another from Eviews with what was done with the program. File Linkshttps://www.dropbox.com/s/twna1qqv180jwkg/simulacion_garch%281%2C1%29.wf1?dl=0 Business Economics Econometrics ECONOMICS 123 Share QuestionEmailCopy link Comments (0)
