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Consider the GARCH(1,1)model = α0 + α1

Question 35

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Consider the GARCH(1,1)model Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. = α0 + α1 Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. + φ1 Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. .Show that this model can be rewritten as Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. = Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. + α1( Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. + φ1 Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. + Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. + Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. + ... ).(Hint: use the GARCH(1,1)model but specify it for Consider the GARCH(1,1)model = α0 + α1 + φ1 .Show that this model can be rewritten as = + α1( + φ1 + + + ... ).(Hint: use the GARCH(1,1)model but specify it for ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation. ;substitute this expression into the original specification,and so on. )Explain intuitively the meaning of the resulting formulation.

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blured image = α0 + α1 blured image + φ1 blured image = α0 + α1 blured image + φ1(α0 + α...

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