# Let { Z t } be a causal stationary solution of the ARCH( p ) equations and with EZ 4 t < ∞....

Let {*Z _{t}*} be a causal stationary solution of the ARCH(

*p*) equations and with

*EZ*

^{4}

_{t}*<*∞. Assuming that such a process exists, show that

*Y*=

_{t}*Z*

^{2}

_{t}*/α*

_{0}satisfies the equations

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Let { Z t } be a causal stationary solution of the ARCH( p ) equations and with EZ 4 t < ∞....

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and deduce that {*Y _{t}*} has the same autocorrelation function as the AR

*(p)*process