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Pitfalls of asymmetric ARCH?
In a nutshell, what are the main pitfalls of using asymmetric ARCH models e.g. EGARCH, TGARCH, APARCH to model the volatility of assets? My interest is at a general level but mainly around the equity asset class.Tx in advance!
Pitfalls of asymmetric ARCH?
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Last edited by Alan on February 26th, 2009, 11:00 pm, edited 1 time in total.