Intuitively, it is the innovation term, u(t, h), which distinguishes the SV from the ARCH class of models.24 Of course, analogous to the GARCH class of models discussed above, for the SARV(p) model in (3.23) to
we should research the RMB exchange rate against the dollar to its rate of return. The sequence of the RMB exchange rate against the dollar are nonstationary time series sequence, so only the logarithmic difference sequence model. Through the test, the log sequence has high order ARCH effect,...
3.5. ARDL-CRG-GARCH Model The second prediction model for this paper is to use the GARCH8 model to present the residual term of ARDL regression. The conditional volatility in the GARCH (1,1) model is defined as [Math Processing Error] (10) Theoretically, the random variable [Math Proce...