Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
depending on the (unobservable) information arrival
process. If the mixing process is positively autocorrelated, the resulting …), where the
conditional variance given the available information set is a function of past observations.
Denote ht as the time …-t information set. Then,
ARCH processes imply Var[ht|Ft−1] = 0, i.e., the variance is conditionally deterministic
given the …