The (operatorname{GARCH}(1,1)) model shown below can also be reexpressed as an (operatorname{ARCH}(q)) model, where (q) is a

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The \(\operatorname{GARCH}(1,1)\) model shown below can also be reexpressed as an \(\operatorname{ARCH}(q)\) model, where \(q\) is a large number (in fact, infinity). Derive the ARCH form of a GARCH model using the method of recursive substitution.

\[h_{t}=\delta+\alpha_{1} e_{t-1}^{2}+\beta_{1} h_{t-1}\]

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Principles Of Econometrics

ISBN: 9781118452271

5th Edition

Authors: R Carter Hill, William E Griffiths, Guay C Lim

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