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Unformatted text preview: ARCH(1) process (autoregressive conditional heteroscedastic) and h t is called volatility . The conditional variance of an ARCH(1) process { Z t } depends on time V ( Z t  Z t1 , Z t2 , . . . ) = + 1 Z 2 t1 , but the conditional variance is still constant V ( Z t ) = 1 1 . 10.3 Extensions The GARCH model (generalised ARCH) is h t = + 1 Z 2 t1 + 2 Z 2 t2 + + m Z 2 tm + 1 h t1 + 2 h t2 + + r h tr . The EGARCH model (exponential GARCH) is log( h t ) = t + s j =1 j { V tj  E (  V tj  ) + XV tj } ....
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This note was uploaded on 10/19/2009 for the course MATH 611 taught by Professor Jsdkasj during the Spring '09 term at Kansas.
 Spring '09
 jsdkasj

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