1. A

    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 |\phi|<1. I also know that an ARCH(1) is covariance stationary if \alpha_0, \alpha_1>0 and \alpha_1<1 . If those conditions hold does that imply that an AR(1)-ARCH(1) is...
  2. J

    Determining stationarity

    Hi there, I have this current problem to solve, relating to time series analysis Suppose that {et} is a white noise process with variance s2, and that a, b and c are constants. For each of the following processes, determine if they are stationary, and if so, find their mean and autocovariance...