文件garch模型练习.pdfVIP

Exercises on GAR odels 1. GAR odels (a) Ex in what Autoregressive Conditional Heteroskedastistic (ARCH) e?ects are and why they are particularly likely to occur in ?nancial data. The autoregressive conditional heteroskedastistic (ARCH) e?ect refers to the existence of patterns in the heteroskedasticity, often involving volatility bunching. This is sometimes known as au- tocorrelation of the heteroskedasticity, as some factor is causing the error variance to follow a pattern and