Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model
- 1 January 2004
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 22 (1) , 16-29
- https://doi.org/10.1198/073500103288619359
Abstract
This article analyses the statistical properties of that general class of conditional heteroscedasticity models in which the conditional variance is a linear function of squared lags of the process...Keywords
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