tooro1919 tooro1919

25-05-2023
Physics

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a) Write down the full set of equations for a time series (Xt)tez following an AR(1) model with non-zero mean and ARCH(1) errors. b) Give a formula for value-at-risk calculated at time t, that is for the conditional quantile of Xt+1 in terms of previous values of the process and quantiles of the innovation distribution.

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