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6024统计简单derivationmedium

Persistence and the Covariance-Stationarity Verdict

题目

A GARCH(1,1) has α=0.20\alpha=0.20, β=0.75\beta=0.75. Compute the persistence α+β\alpha+\beta and state whether the process is covariance-stationary (i.e. has a finite, time-invariant unconditional variance). Give the persistence as a decimal.

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persistence

covariance_stationary