Economerics – GARCH and TGARCH Models

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Question 1

A researcher wants to estimate a model with the dependent variable, Y, and three explanatory variables X₂, X₃, and X₄.She suspects that time-varying heteroscedasticity will be an issue with her data, and decides to estimate a higher-order GARCH model.In particular, she estimates a GARCH(2,1) model.

Question 2

The researcher’s colleague wants to estimate a different GARCH model using the same data variables.He believes that a higher-order GARCH model is not sufficient and that a GARCH-in-Mean or a TGARCH model would be a better choice.

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Economerics – GARCH and TGARCH Models

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