Lectures for Part II: Time Series Models in Finance
Lectures for Part II: Time Series Models in Finance
Lectures for Part II: Time Series Models in Finance
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
8.5 Examples<br />
Example of ARCH(1): X t =(α 0 +α 1 X 2 t-1) 1/2 Z t ,<br />
{Z t }~<strong>II</strong>D.<br />
α found by solv<strong>in</strong>g E|α 1 Z 2 | α/2 = 1.<br />
α 1 .312 .577 1.00 1.57<br />
α 8.00 4.00 2.00 1.00<br />
Distr of θ:<br />
P(θ ∈•) = E{||(B,Z)|| α I(arg((B,Z)) ∈ •)}/ E||(B,Z)|| α<br />
where<br />
P(B = 1) = P(B = -1) =.5<br />
MaPhySto Workshop 9/04<br />
92