STAT443 Study Guide - Quiz Guide: Autocovariance, Autoregressive Conditional Heteroskedasticity, Conditional Variance

• School: University of Waterloo
• Department: Statistics
• Course: STAT443
• Professor: Diana Skrzydlo

Document Summary

These are some practice questions to prepare you for the nal exam. I will not post solutions online for these questions, but you can come to o ce hours or ask your speci c questions on the discussion forum. Arch/garch: what are the properties of nancial time series that motivate the use of arch models, show, giving details, how to compute the auto-covariance function of an arch(1) process, describe what you see in fig. 0 < 1 < 1 and zt n (0, 1). Hint: we can also write it as x 2. For what values of 1 is the fourth moment nite? j=1 j. 1z2 j=0 j t = 0p t j(cid:17), where t 1z2 t 1z2 t z2. 1z2 t j: let {xt} be a causal stationary solution of the arch(p) equations with e[x 4. Assuming that such a process exists, show that yt = x 2.