Ashley, Richard - Department of Economics, Virginia Polytechnic Institute … - 2010
heteroscedasticity as the (h = 1) special case of h-step-ahead conditional heteroscedasticity, where the conditional volatility in period …-step-ahead conditional heteroscedasticity (i.e., h= 1) requires multiple and heterogeneously-skedastic innovation terms. Consequently, the …/or stochastic volatility models. This paper demonstrates the usefulness of re- conceptualizing the usual definition of conditional …