Interview Question: Grand Arch Revisited

Sample Question #12 (econometrics – time series)
People use the GARCH model to study volatility.  Can you tell me if we can use the GARCH framework to study the correlation between two assets/time series?  If so, what additional assumptions and/or adjustments must we make to the original GARCH model?
(Comment: this is a very tough question. Why? First, this material is not covered in textbooks. Second, it requires a thorough understanding of the GARCH model and which assumptions can, or cannot, be "twisted" to fit the correlation scenario.)
This entry was posted in Sample Qs. Bookmark the permalink.

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )


Connecting to %s