8-11 Another Way of writing arch models For illustration, consider an ARCH(I). Instead of the above, we can write y,=Bi +B2x2t t.+Bkkt +ut, u, v,ot =Va+ax4-1,v~N(0,1) The two are different ways of expressing exactly the same model. The first form is easier to understand while the second form is required for simulating from an arCH model, for example 非负性约束:条件方差必须严格是正的,从而通常要求条件方 差关系式中的系数是非负的。8-11 Another Way of Writing ARCH Models • For illustration, consider an ARCH(1). Instead of the above, we can write yt = 1 + 2x2t + ... + kxkt + ut , ut = vtt , vt  N(0,1) • The two are different ways of expressing exactly the same model. The first form is easier to understand while the second form is required for simulating from an ARCH model, for example. • 非负性约束：条件方差必须严格是正的，从而通常要求条件方 差关系式中的系数是非负的。 t = 0 +1 ut −1 2