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R16.P1.T2. Hull - expected value of u(n+t-1)^2
In Hull - Risk Management and Financial Institutions, it is stated, in page 222 (10.10 using GARCH(1,1) to forecase future volatility), that: "the expected value of u(n+t−1)^2 is σ(n+t−1)^2". Is this something obvious? Can anybody explain why this should be the case? Thanks!- uness_o7
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- garch hull volatility
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- Forum: P1.T2. Quantitative Analysis