[tex]\varepsilon _t = z_t \sigma _t [/tex](adsbygoogle = window.adsbygoogle || []).push({});

[tex]

z_t \sim IID\,N\left( {0,1} \right)

[/tex]

[tex]

\sigma _t^2 = f\left( {\sigma _{t - 1} ,z_{t - 1} } \right)

[/tex]

Are the epsilons independent from each other? Why?

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# Are the epsilons independent from each other?

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