Can I read Arch (3) Model Fts on EtoBox?

Arch (3) Model Fts by Fredrick Barasa is a document available to read on EtoBox.

What is Arch (3) Model Fts about?

The document discusses the ARCH(3) model, detailing the mean, variance, and kurtosis of the process defined by specific equations. It derives that the mean E[yt] is 0, the variance Var(yt) is α0 / (1 - α1 - α2 - α3), and the kurtosis Kurt(yt) is expressed in terms of the model parameters. A special case for ARCH(1) is also provided, confirming the results for that model.

Author

Fredrick Barasa

Language

EN