A model with the following conditional variance function is what type of model? h_t= $\alpha$ ₀ +$\alpha$₁ e²_t-1 + $\alpha$ ₂ e²_t-2 + +$\alpha$₃ e²_t-3 A)ARCH(3) B)ARDL(2) C)ARDL(3) D)VAR

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Quizplus · Accepted Answer

The conditional variance function given is a third-order Autoregressive Conditional Heteroskedasticity (ARCH) model with three lags. Therefore, the best choice is ARCH(3).

A Model with the Following Conditional Variance Function Is What α\alphaα

A Model with the Following Conditional Variance Function Is What $\alpha$