Arma 3

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Lecture 2: ARMA(p,q) models (part 3)

math.unice.fr

Introduction Road map 1 ARMA(1,1) model De nition and conditions Moments Estimation 2 ARMA(p,q) model De nition and conditions Moments Estimation 3 Application 4 Appendix Florian Pelgrin (HEC) Univariate time series Sept. 2011 - Jan. 2012 3 / 32

Mara

18 GARCH Models - University of Washington

faculty.washington.edu

As we saw in Chapter 9, ARMA models are used to model the conditional expectation of a process given the past, but in an ARMA model the con-ditional variance given the past is constant. What does this mean for, say, ... Property (18.3) is called conditional homoskedasticity.

University, Washington, University of washington, Garch, Mara

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ARMA, GARCH, University of Washington