Figure 10.7 shows a realization of the ARCH(1) process with α 0 = 1 and α 1 = 0 . 5.

Figure 10.7 shows a realization of the ARCH(1) process with α0 = 1 and α1 = 0.5. The graph of the realization and the sample autocorrelation function shown in Figure 10.8 suggest that the process is white noise. This conclusion is correct from a second order point of view.

Don't use plagiarized sources. Get Your Custom Essay on
Figure 10.7 shows a realization of the ARCH(1) process with α 0 = 1 and α 1 = 0 . 5.
Just from $13/Page
Order Essay

 width=

 

 width=

Leave a Reply

Your email address will not be published. Required fields are marked *

*

*

*