HI David,
I dont exactly understand how you say ARCH is a generalised form of EWMA. Assuming the w is 0, we basically have ARCH as a weighted sum of the spreads (or whatever those factors are). If the number of terms is infinite, and the weights are tending to zero, how does it stll go to the EWMA form? For the EWMA form the two weights have to add to 1, and I cant see how that is achieved by ARCH with the said conditions.
I missed EB#2, and that isnt in the member's section for download.
thanks,
Ravi
I dont exactly understand how you say ARCH is a generalised form of EWMA. Assuming the w is 0, we basically have ARCH as a weighted sum of the spreads (or whatever those factors are). If the number of terms is infinite, and the weights are tending to zero, how does it stll go to the EWMA form? For the EWMA form the two weights have to add to 1, and I cant see how that is achieved by ARCH with the said conditions.
I missed EB#2, and that isnt in the member's section for download.
thanks,
Ravi