NO.PZ2023091601000072
问题如下：
The GARCH model is useful for
simulating asset returns. Which of the following statements about this model is
FALSE?
选项：
A.
The Exponentially
Weighted Moving Average (EWMA) approach of Risk Metrics is a particular case of
a GARCH process.
B.
The GARCH allows
for time-varying volatility.
C.
The GARCH can
produce fat tails in the return distribution.
D.
The GARCH imposes
a positive conditional mean return.
解释：
The GARCH model
allows for time-varying volatility by describing the conditional variance as a
function of the previous period’s volatility and the most recent variance
estimate:
, Where:
It is useful in simulating leptokurtic return
distributions with fat tails.
The EWMA is a special case of the GARCH model with
The model does not impose the requirement of a
positive conditional mean return.
老师，C和D能翻译一下，各举一个例子吗？没太看明白。
