Question: Consider the GARCH(1, 1) model ???????? = ????????????????, where the ???????? are iid random variables with mean 0 and variance 1, and ????2 ???? =

Consider the GARCH(1, 1) model ???????? = ????????????????, where the ???????? are iid random variables with mean 0 and variance 1, and ????2

???? = ????0 + ????1????2

????−1 + ????1????2

????−1. Show that the unconditional variance of ???????? equals var[????????] = ????0∕[1 − (????1 + ????1)].

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