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GARCH before and after a shock. How to test if volatilities are different?

Logarithmic returns may be dependent (as in GARCH), but they may still be uncorrelated. If that is the case, $\text{Var}(r_1+\dots+r_n)=\text{Var}(r_1)+\dots+\text{Var}(r_n)$. And if empirically that ...
Richard Hardy's user avatar

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