Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. In the previous post, we presented a system for trading VXX, a volatility Exchange Traded Note. The trading ...

An important part of the identification and diagnostic checking of space-time ARMA models is the evaluation of the significance of the autocorrelations of the observations and residuals, respectively.

We consider a stationary AR(1) process with ARCH(1) errors given by the stochastic difference equation $X_{t}=\alpha X_{t-1}+\sqrt{\beta +\lambda X_{t-1}^{2 ...