arima function returns conditional variance or unconditional variance?

Hi all,

I have a quick question.

I am fitting data to AR(1) process using esitmate and arima functions. By the way, variance returned by arima function (mdl.Variance) is unconditional variance or conditional variance?

Answer 1

[Lakshya]

Hi,

The variance returned by the arima function in MATLAB or R corresponds to the conditional variance of the AR(1) process.

Hope this answers your question

[Seraphic]

Thank you!