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Thread: Is AR(1)-ARCH(1) covariance stationary?

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    Cool Is AR(1)-ARCH(1) covariance stationary?




    I'm becoming confused by this. Say I have the following model:





    I know that an AR(1) is covariance stationary if .
    I also know that an ARCH(1) is covariance stationary if and .

    If those conditions hold does that imply that an AR(1)-ARCH(1) is also covariance stationary?

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    Re: Is AR(1)-ARCH(1) covariance stationary?


    Yes, in the unconditional sense.

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