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nne n u s

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VAR
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a
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eHaP staton Meihod and
hagianget
uede Neotone
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 Ond
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ae

we
mo d e l Y
TH
Y.-a -J+u-0
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mean Y Y
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ee
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atime
t CmP
m ply
tme
its Value a t
valueY
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t
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at meme t
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t u o o H m e

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an
nexal
I

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o Sthes
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tme
tme t eual to a Con-ant Puu a

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ollouo he PreaiOn.

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-
then iku an MA Proene MORe eneall
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hort a
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ha 6 Charaoteuie ti c
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beCause thee One Autovegsauc)e
averog eem RePrecea
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and
tom
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tn an HRMA(P
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be Pauto RagRraeieve

heu wl
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arod movingeeme

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9oving Aveafe
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PRoCaLeARIMA
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alc
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e
ase Ce
aie

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annCe

he Dean
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that elonomcHtme
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me
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nvauant onaly,

hon
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ee&
ae Lneglated
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e a
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genetal
i we sbtain L(o)
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d mee
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t
m.at
ts ma be
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0s
as
ra)
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uto
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mes
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es haa ts
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eiee
e Can
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eero
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lepe
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metted Conce
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nectHage u t
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rnate in aludad
Cludad Ke
tn e
etmm
avesa
nd hmovi ng
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Mode. ome Hmer
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be done by elort ts
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method
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t the mdel
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m a t e d e e d u a l l

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en b/nc Metsdstefy
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Diognstte Checking
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lav r e t m a l e d P a s a m e e r

and having
oode h e g t h e h s d e n

Ler he
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he data
oodel e neta
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that
u pote)blo One mple
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da
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e
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not &ee
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ce
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E
the
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oe Oue
ot
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ger

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dola LRDe Con
e
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rmolalluny
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R Cuccaae e aotr

5. ROH Ond GARCH Mdele.

iea.
Tme
l tn
Meae o Vla
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leia
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how
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erieg

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ot

err and Persde

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nd
oo
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and
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t
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LH Lhsche
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otlsu b1
b19
be olowed
he
oned
to Thr
beetvati CnLohi the
c h the
ohi ch
tn
odel
a at
TOTmulaio the
he

e n p l a i n ed
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re
raui on los Cat on
a pe
peC P Catton
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Luch
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in
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aror
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ng-hock
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m a k R -Ke
hmae
he ts
Tormulatea
eme n
be
have to
wl duale
t he Seci o
Watu me-thode
-huoo
are
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Rostolua
Vvau

t m a t e e
J e ms
ARch Metod

2- GeRcH
 ubo SegReaei ve Condl btorally HeoëoShede e
Modele AROH (P) mode
rooole
an ARCP)
modet u mpty Eme e n e
PRCHP) a Eime era
the Vauian
Opplied to
ARCH C) u tven b

Vou Ue do +
n9enexa) ARCH (P)

Vaut Ue = = t ,UEL+U-2

eneral ddPuto Regkeeee Conds honall Y

HeteroeRedaotbe Modele qARCH
e t r ke PReH C)u ARCE) APPUd to
the
the Vouane a -tme eues, GARCH# (P
CnBR (P) mooet appued H
Vauan Ce
VauanCa a tme-ei e The ARCA) hrodete
Vautan 2 ot the
le0hduale uated eroa
he
he
auased The
me-Ceiel
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Vaiane
tha
DY9 Port on msolele he
PRocuC The sRcH Model (l1)
VaR U otUt B
Tn Ge nelal GARCH ( )

Nau Ue.t, t ,UE- +. UEp

 eer Auto Reglaetme VAR t o u s u a

OR
Tn tmul anes ud
bta
CRua H O mod.elo Csme vaulo a egen@o

me abe
Ond mak

treated a en6 gensus hae s

modlete, we
We

eR-ttnaJe uch
Bere
Bere
uc-Hon Re7
Cuse
Stu Aat -Ae
dent 4 ed the ldent f Cat on
- a t - m e
f
7

Ochieved by aAuo)ng PreRent n

Prnent
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hed Va lues
PReole-teemi
Loas GritH
GiRed by
oncThie
Rua tt
ne
me

Crt tophe m
HeCarollrg s vauable
et
Cmong a
TKu-multan e an yo
be rca ved
Phey houd at be any
a ror
h s uld hot
A n There e n d g A c o u
Qnd
di+CHo hoJuwen_
betuwen RLCP)rit

sgineou VOul ableg

P
VAR rodel.
rodlel
Jeun
The eam
lopelVAR
deve
hat im a ap peakente
a4 peaseniz
due
Uuts Ragkaceiva vRa
dopedart
opedart

ogjed vatlue
stka
handde
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nte vecr dur
d uu
vectr
Jerm wo N
and deal tng
uaHon Are

lact a t
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hntre
a u abe. A
he
a ve0tor
stwS
Ore
Endogkie) ul
VAR Ore
VeR
he
v o a a blo
u
dne b Lwn
n g
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eah o
OLA methed
ecample t hoay
uaha
et Onfip-Taue ab
k olatt
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b l a t a l Caxualey
ORe having
Voaobtaa ad Rak
Sale st Lfuart
moRy Oteetl ket-u l H
east aHecHe oay
f
 Coreaink
Qcsume Rat each EuaHt
eeHmoale ase EuaR nut
We Can

D
RE N+
E
t e - C s a k a s t E r o
eror
are
h-ete He Uk

YeCtsr Moving Aveage VMA) nal

Clmerli
an
Let
Let Coni d eriee Ye)
ime
eCate - Hme mulhPe Con&Hng f
Yt Yne
Yne
oth Y, vauiana
mulHpla me
ini-e me
ORS nean,
PrsaReTKe
mulHpCe
QVeage
aveog
tsChasHc
V etor
ct
o
m oovni
ng
hg
Vec
a
stooe Aat
e
eu ee
AUt A orde U + A - - 0

ProCore
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hoet
tete
e
COh

dinen ona!
ona and
d
o hh
o arag
é
h - d i m e n t

an a t i x
G m a t r i

Wheu
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h
m a
atti
icCaaR
R
Covauan

sCel
oith
ethe
bett d cnt
cnt

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Aa
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hol