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Time SeriesAsymptotic TheoryMoving AverageStochastic VolatilityStructural BreaksFinite Sample PropertiesUnit Root TestingNull HypothesisCritical ValuesGARCH ModelMaximum Likelihood EstimatorNuisance ParameterGARCH ModelsTest StatisticsSignal ExtractionStructural BreakFractionally IntegratedUnit Root TestStationarity TestGeneralized Least Squares