Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
Processes … Processes
JEL Classification: C15, C22, G12
1 Introduction
Stochastic volatility (SV) models are workhorses for the modelling …-t information set. Then,
ARCH processes imply Var[ht|Ft−1] = 0, i.e., the variance is conditionally deterministic
given the …