Consider the process Y, which we described earlier (all terms ^tY are equal and are unconditionally U(0, 1); two realizations are indicated in Exhibit 4.7).

1. Is Y stationary?

2. Is it unconditionally homoskedastic?

3. Is it conditionally homoskedastic?

4. What is the unconditional standard deviation ¹?

5. What is the conditional standard deviation ^1|0?

1. Yes.

2. Yes.

3. Yes.

4. Applying [3.74], it is 0.2887.

5. It is 0.