AW: GARCH questions and math help needed a bit

[MikeSuesserott@xxxxxxxxxxx (MikeSuesserott)]

Hi Bilo,

since the X-term is to remain unchanged we may consider this problem as an
inhomogeneous linear recurrence in Y(t), which is usually solvable. However,
different coefficients require different methods, and sometimes complex
numbers will be involved.

The closed form would contain t, though, so that we would get something like
f(a,b,c,t,X(t-1)).

If you can specify the coefficients a, b, c, and also indicate the initial
condition for Y(0) or Y(1), I will try to work it out for you. No
guarantees, but I can give it a try.

Regards,

Michael Suesserott


-----Ursprüngliche Nachricht-----
Von: Bilo Selhi [mailto:biloselhi@xxxxxxxxxxx]
Gesendet: Thursday, December 06, 2001 20:46
An: holygrail@xxxxxxxxxxxxx; systems-only@xxxxxxxxxxxxx; Omega List
Betreff: GARCH questions and math help needed a bit


<snip>

***from the math point of view,
last question is basically math question, as you can disregard the above
garch notion...
pure math problem is:
(1) Yt = a + b*Yt-1 + c*Xt-1
need to rewrite 1 so that Yt = f( a,b,c Xt-1) only, no Yt-n in there.
thanks.
bilo.