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Results tagged with garch
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user 189634
A model for time series in which the conditional variance is time-varying and autocorrelated.
4
votes
1
answer
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views
Mean and Correlation of a First-Order ARCH(1) Process
For a first-order ARCH(1) process
$$
Y_t = \epsilon_t(\alpha_0 + \alpha_1Y_{t-1}^2)^{1/2}
$$
$$
t \in \mathbb{Z}
$$
$$
\alpha_0, \alpha_1 > 0
$$
$ \{\epsilon_t\}_{t \in \mathbb{Z}} $ and $Y_t$ is ind …
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