Consider the following ARCH(1) model: yt = + ut ut = vtt, vt is i.i.d. with mean
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Question:
Consider the following ARCH(1) model: yt = + ut ut = vtt, vt is i.i.d. with mean 0 and variance 1 2 t = 0 + 1u2 t1. Please compute the following: (a). E[2 t+1|t] (b). E[2 t+2|t] (c). E[2 t+3|t] (d). Derive a general formula for E[2 t+s|t] for any s 2
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