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When calculating the simple arithmetic mean, each observation has an equal weight: $$ \hat \mu^{simple} = \frac{1}{T}\sum_{t=1}^T x_t.$$ If the observations are $i.i.d.$, $\hat \mu^{simple}$ is an efficient estimator of the population mean. When estimating the mean of a GARCH process, $\hat \mu^{simple}$ is no longer efficient. It makes sense to ...

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