Show that the GARCH(1,1)-process x t , defined by? with independent and identically distributed innovations z t
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Show that the GARCH(1,1)-process xt, defined by?
with independent and identically distributed innovations zt ? N(0, 1), is not a Markov-process.
Transcribed Image Text:
X, = Vh,z, h; = w + ax_, +Bh;-1, + Bh1-1
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