Rt =μ+ ε t

2 2
σ t =ω+ α ε t −1

p
σ =ω+ ∑ α i ε t −i
2 2
t
i=1

2 2
σ t =γ V L + α ε t −1

2 2 2
σ t =( 1−α −β ) V L +α ε t−i + β σ t−1

σ 2t −V L =( 1−α −β ) V L +α ε 2t −1 + β σ 2t −1

σ 2t −V L =α ( ε 2t−1 +V L ) + β ( σ 2t −1−V L )

E ( σ 2n+i −V L )=α ( ε 2t−1−V L ) + β ( σ 2t −1 −V L )

E ( σ 2t +1−V L ) =( α + β ) ( σ 2t +1−V L )

E ( σ 2t +n−V L ) =( α + β ) ( σ 2t −V L )
n

E ( σ 2t−n ) =V L + ( α + β ) ( σ 2t −V L ) ( 1 )
n

p q
σ =ω+ ∑ α ε + ∑ β j σ 2t − j
2
t
2
i t −i
i j =1
 2 2 2
σ t =ω+ α ε t −1+ β σ t−1

σ 2t =γ V L + α ε 2t −1+ β σ 2t−1

ln ( σ t ) =α 0+ α 1 (|ε t−1|−E ( ε t −1 ) ) + γ ε t −1+ β ln (σ t−1 )

α 1 (|ε t−1|−E ( ε ))