Arch Model and $\sigma$ In my problem set about ARCH models I'm given that
$\epsilon^2_{t}=\alpha\epsilon^2_{t-1}+v_{t}$
But then I'm asked to calculate
$E(\sigma^2_{t+n}|I_{t-1})$.
So is the same to calculate $E(\epsilon^2_{t+n}|I_{t-1})$, isn't it?
Thanks in advance
It is the same in practice, they are both variances some people will write it as $\sigma^2$ some as $\epsilon^2$. Variance in error tells you what is the variance in the variable you predict.