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1. Consider the following ARCH(1) model: ut=vot, vt is i.i.d. with mean 0 and variance 1 Please compute the following: (a). E[+] (b). E[+2]
1. Consider the following ARCH(1) model: ut=vot, vt is i.i.d. with mean 0 and variance 1 Please compute the following: (a). E[+] (b). E[+2] (c). E[+] (d). Derive a general formula for E[+] for any s 2.
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
10th Edition
538482109, 1133711774, 538482389, 9780538482103, 9781133711773, 978-0538482387
