Generalized Heteroskedasticity ACF for Moving Average Models in Explicit Forms
Generalized Heteroskedasticity ACF for Moving Average Models in Explicit Forms
Normal 0 false false false MicrosoftInternetExplorer4 The autocorrelation function (ACF) measures the correlation between observations at different distances apart. We derive explicit equations for generalized heteroskedasticity ACF for moving average of order q, MA(q). We consider two cases: Firstly: when the disturbance term follow the general covariance matrix structure Cov(wi, …