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Suppose There Is a Series,Yt,modeled by the Following Three Equations ϕ\phi

Question 11

Multiple Choice

Suppose there is a series,Yt,modeled by the following three equations: yt = ϕ\phi +et
Et|It-1 N(0ht)
Ht = α\alpha 0 + α\alpha 1 e2t-1, α\alpha 0 >\gt 0 ≤ α\alpha 1 <\lt 1
This model is classified as a(n)


A) ARCH(1)
B) ECM
C) ARDL(1)
D) VAR

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