Which of the following are true about the RiskMetrics, GARCH, and historical standard deviation approaches to estimate conditional volatility?
- RiskMetrics and historical standard deviation assume equal weights on all observations.
- RiskMetrics and GARCH are parametric models: historical standard deviation is not.
- Increasing λ suggests a higher relative weight on the most recent data for exponential smoothing models.
- The most recent weight for GARCH exceeds the most recent weight for historical standard deviation, assuming the same high number of observations.
A. III and IV only.
B. II, III, and IV only.
C. II and III only.
D. I, II, and IV only.
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