[CFA入门] 请教一个L2问题

zhouhuarui

A time series may be both covariance stationary and have heteroskedastic residuals

这句话错在哪了

zhouhuarui

QUOTE:

以下是引用z0354l在2011-4-1 0:30:00的发言：
if a time series is covariance stationary, the it cannot be heteroskedastic. 

可是为什么在建立模型的步骤中,处理完covariance stationary问题,即已经是covariance stationary了,还要去检查ARCH呢?

zhouhuarui

QUOTE:

以下是引用z0354l在2011-4-3 6:33:00的发言：
becuase ARCH is conditional heterskedastic model. it is still possible to be covariance stationary.

是不是ARCH不是heterskedastic的范畴,只是凑巧名字里带了一个CH,我看定义确实是不同概念