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Introduction：
A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process
introduced in Engle (1982) to allow for past conditional variances in the current conditional
variance equation is proposed. Stationarity conditions and autocorrelation structure for this new
class of parametric models are derived. Maximum likelihood estimation and testing are also
considered. Finally an empirical example relating to the uncertainty of the inflation rate is
presented.
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