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ARCH, GARCH and Time-Varying Variance

  • John D. Levendis
Chapter
Part of the Springer Texts in Business and Economics book series (STBE)

Abstract

To this point, we have considered non-stationary means, but strictly speaking, non-stationarity could apply to any of the moments of a random variable: the mean, variance, skewness, kurtosis, etc… Finance especially is concerned with the non-stationarity of variance.

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  • John D. Levendis
    • 1
  1. 1.Department of EconomicsLoyola University New OrleansNew OrleansUSA

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