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Hi David
In the comparison of GARCH to Mean reversion stochastic model,
a) is the drift rate equal to "a" or is equal to a*(VL -V) where a = 1-alpha-beta
b)what is the variance rate in this comparison
c)what does it mean by a positive / negative drift..
Regards
In the comparison of GARCH to Mean reversion stochastic model,
a) is the drift rate equal to "a" or is equal to a*(VL -V) where a = 1-alpha-beta
b)what is the variance rate in this comparison
c)what does it mean by a positive / negative drift..
Regards
