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Journal of Econometrics 31 (1986) 307-327. North-Holland GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY Tim BOLLERSLEV* University of California at San Diego, La Jolla, CA 92093, USA Institute of Economics, University of Aarhus, Denmark Received May 1985, final version received February 1986

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in econometrics and flnance because they have randomly varying volatility. ARCH is an acronym meaning AutoRegressive Conditional Heteroscedas-ticity. In ARCH models the conditional variance has a structure very similar to the structure of the conditional expectation in an AR model. We flrst study

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18.6 Estimation of the variance-covariance matrix . . . . . . . . . . . . . 277 18.6.1 Newey-West covariance estimator . . . . . . . . . . . . . . . 279

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The ˜2 1 (1 degree of freedom) - simulation A random sample of size n= 100 is selected from the standard normal distribution N(0;1). Here is the sample and its histogram. [1] 0.934816959 -0.839400705 -0.860137605 -1.442432294

Covariance and correlation - University of California, Los ...

Covariance and correlation Let random variables X, Y with means X; Y respectively. The covariance, denoted with cov(X;Y), is a measure of the association between Xand Y.

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