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GENERALIZED AUTOREGRESSIVE CONDITIONAL ... - Duke …

GENERALIZED AUTOREGRESSIVE CONDITIONAL ... - Duke …

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Received May 1985, final version received February 1986 A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed.

  Final, Conditional

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