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Views on non-Normal markets [23]

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Bullet points include: Also known as heteroscedasticity. Closely allied with GARCH modelling. E.g. s(t) = a.s(t-1) + c, where s = volatility (if using AR(1) model). The C in GARCH is because we are talking about the volatility conditional on the current time and/or on volatility at earlier times. Why not incorporate time-varying behaviour in distributional parameters including means and correlations (covariances)? More commonly then called regime switching

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