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Fantastic video
can you explain how the mean of εt | I (t-1) is 0? around 4:15is it because in εt = σtzt the 0 mean from zt carries over to εt?
thank you very much for this video
very helpful video. any chance of explaining the GARCH model too? do we set again εt=σt*zt ?
thanks for video :)
why E(Zt^2)=1 giving Zt~N(0,1) iid ?
no because he's using ε(t)2. if he was using just ε(t) then it would be zero. He's using squared
Fantastic video
can you explain how the mean of εt | I (t-1) is 0? around 4:15
is it because in εt = σtzt the 0 mean from zt carries over to εt?
thank you very much for this video
very helpful video. any chance of explaining the GARCH model too? do we set again εt=σt*zt ?
thanks for video :)
why E(Zt^2)=1 giving Zt~N(0,1) iid ?
no because he's using ε(t)2. if he was using just ε(t) then it would be zero. He's using squared