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Abstract

The autocorrelation function, ACF, is an important guide to the properties of a time series. We derive explicit equations for ACF in the presence of heteroscedasticity disturbances in first-order autoregressive, AR(1), models. We present two cases: (1) when the disturbance follows the general covariance matrix, , and (2) when the diagonal elements of are not all identical but j i , 0 ij = . In addition, we derive an equation to transform a model with heteroscedastic disturbances such that the model has homoscedastic disturbances. : . . : . .