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A GARCH(1,1)model withZ t 2 = t 2 + t can be represented as anAR(2)model with theARcomponent ofZ t 2 and anotherARcomponent of t .

A GARCH(1,1)model withZ_t²=_t²+_tcan be represented as anAR(2)model with theARcomponent ofZ_t²and anotherARcomponent of_t.

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