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Re: Question about ARMA in new C# version of Suanshu

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#2233
haksunli
Keymaster

An ARMA model assumes constant conditional variance, but the ARMA-GARCH model assumes heteroskedasticity, which is the ‘H’ in GARCH. You may want to take a look at Sections 6.3 and 6.4 of Lai’s book: Statistical Models and Methods for Financial Markets.