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consider the following AR(1)-GARCH(1,1) Model: yt=0.8yt-1+ut, ut=sqrt(ht)vt, ht= 0.3 +0.4(ht-1)+0.1ut-1^2, e(vt|It-1)=0, e(vt^2|It-1)=1, we observe yt. It denotes information available at time t. Calculate the unconditional
consider the following AR(1)-GARCH(1,1) Model: yt=0.8yt-1+ut, ut=sqrt(ht)vt, ht= 0.3 +0.4(ht-1)+0.1ut-1^2, e(vt|It-1)=0, e(vt^2|It-1)=1, we observe yt. It denotes information available at time t. Calculate the unconditional variance forecast: E(ut+j^2), j to infinity
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College Algebra
Authors: Margaret L. Lial, John Hornsby, David I. Schneider, Callie Daniels
12th edition
134697022, 9780134313795 , 978-0134697024
