没人能指点下吗？？？

This is a time series problem, X(t)=Zt * [a+b*X(t-1) ^2]^0.5. I guess the reason why you are wrong is that the X(t-1) is still a random variable. No matter it has constant variance or not. Hope this could help.

yeah, I find the answer, just because ct is a process!
strictly,  xt is also a process instead of a rv
But thank u all the same!

And give u the money!

只要区别条件方差和方差就可以了，事实上，条件异方差并不意味着（无条件）异方差