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Let y_t be the AR(1) + ARCH(1) model a t = t + a t 1 2 , ( y t ) = ( y
Let y_t be the AR(1) + ARCH(1) model
at=t+at12,(yt)=(yt1)+at
wheret is i.i.d. WN(0,1). Suppose that=0.4 , =0.45 , =1 , and 1=0.3
FindE(y2y1=1,y0=0.2) andVar(y2y1=1,y0=0.2)
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Birds Higher Engineering Mathematics
Authors: John Bird
9th Edition
1000353036, 9781000353037
