TY - JOUR N2 - This paper points out that the ARMA models followed by GARCH squares are volatile and gives explicit and general forms of their dependent and volatile innovations. The volatility function of the ARMA innovations is shown to be the square of the corresponding GARCH volatility function. The prediction of GARCH squares is facilitated by the ARMA structure and predictive intervals are considered. Further, the developments suggest families of volatile ARMA processes. L1 - http://journals.pan.pl/Content/103812/PDF-MASTER/mainFile.pdf L2 - http://journals.pan.pl/Content/103812 PY - 2010 IS - No 3 EP - 203 DO - 10.24425/cejeme.2010.119328 KW - ARCH KW - ARMA KW - GARCH KW - prediction KW - time series KW - volatility A1 - Lawrance, Anthony J. PB - Oddział PAN w Łodzi DA - 30.09.2010 T1 - Volatile ARMA Modelling of GARCH Squares SP - 195 UR - http://journals.pan.pl/dlibra/publication/edition/103812 T2 - Central European Journal of Economic Modelling and Econometrics ER -