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QAF week6, image, image, image - Coggle Diagram
QAF week6
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ARCH
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unconditional ε does not depend on ε(t-1), but conditional variance of ε dependent on ε(t-1). This is an AR process in ε(t).
ARCH error term changes volatility, bigger AR(1) parameter, bigger the given change in y(t).
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