ECON217_HW_ARCH - 1. An ARCH(1) process is given by t t 1 ~...

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1. An ARCH(1) process is given by 1 ~( 0 ,) , t tt Nh where 2 10 1 1 () ; ttt t hV    , o 1 and 0 1 1 . a. Find the unconditional mean and variance of t . b. Show that t 's are uncorrelated but not independent. c. Discuss the properties of this process. d. Discuss how you would test for the presence of ARCH effects in t . 2. Retrieve the daily S&P 500 and Nikkei 225 indexes. a. Fit the appropriate GARCH models to these two daily index data.
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This note was uploaded on 09/29/2010 for the course ECON Econometri taught by Professor Fairlie during the Winter '09 term at University of California, Santa Cruz.

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