A archived_user New member Joined Dec 7, 2011 Messages 0 Reaction score 0 Jul 18, 2019 #1 Can an AR model be covariance stationary and be ARCH(1) at the same time? or does ARCH(1) make it covariance non stationary? Thanks!
Can an AR model be covariance stationary and be ARCH(1) at the same time? or does ARCH(1) make it covariance non stationary? Thanks!