Simulate an ARCH (4) process with high persistence in variance. Plot the time series and the conditional
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We have generated 5000 observations of the following ARCH 4 process Which exhibits high persistence because a 1 a 2 a 3 a 4 090 The unconditional mean of the process is 1 and the unconditional varianc...View the full answer
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Forecasting for Economics and Business
ISBN: 978-0131474932
1st edition
Authors: Gloria Gonzalez Rivera
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