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Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501 Exercise 6
Suppose that u t follows the ARCH process,
a. Let
be the unconditional variance of u t. Show that var ( u t ) = 2.
b. Suppose that the distribution of u t conditional on lagged values of u t is
. If
, what is
If u t 1 = 2.0, what is
a. Let
be the unconditional variance of u t. Show that var ( u t ) = 2.b. Suppose that the distribution of u t conditional on lagged values of u t is
. If , what is If u t 1 = 2.0, what is Explanation
Verified
Verified
a) The ARCH equation is
Here
is the...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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