# Recent content by Mst

1. ### ARCH-process with exponencial variance function

I need some help for a proof regarding Engles ARCH-paper from 1982. For an ARCH-process with a variance function h_t = exp(a_0 + a_1 y_{t-1}^2) he states, that the data generatet from this model has infinite variance (or goes to infinity) whenever a_1 is not zero. I need to explain why...