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GENERALIZED AUTOREGRESSIVE CONDITIONAL …

GENERALIZED AUTOREGRESSIVE CONDITIONAL …

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p. (2) For p = 0 the process reduces to the ARCH(q) process, and for p = q = 0 E t is simply white noise. In the ARCH(q) process the conditional variance is specified as a linear function of past sample variances only, whereas the GARCH(p, q) process allows lagged conditional variances to …

  Generalized, Conditional, Autoregressive, Generalized autoregressive conditional

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