Meitz, Mika (contributor); Saikkonen, Pentti (contributor) - 2006
the conditional heteroskedasticity is modeled by a pure ARCH model.
Because in many fields of application pure ARCH models … consider the
standard ARCH model ht = ω+αu2t−1 (α> 0) and, for simplicity, assume that p = 1. It suffices
to show that the …