Arch Models and Conditional Volatility
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چکیده
w t here {e } is independent white noise. The width of the forecast interval is proportional to the square r root of the one-step forecast error variance, var [x − f ] = var [e ] =σ , a constant. On the othe n +1 n , 1 n +1 e t i hand, actual financial time series often show sudden bursts of high volatility. For example, if a recen nnovation was strongly negative (indicating a crash, etc.), a period of high volatility will often follow.
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