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6026统计简单derivationmedium

ARCH(1) as the Beta-Zero Special Case

题目

A GARCH(1,1) reduces to ARCH(1) when β=0\beta=0: ht=ω+αrt12h_t=\omega+\alpha r_{t-1}^2. With ω=0.7\omega=0.7 and α=0.3\alpha=0.3, compute the unconditional variance hˉ\bar h as a decimal.

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