- No, correlation between shocks does not mean there is effectively a 6th shock.
- See e.g.
3. The heteroskedastic_shocks allows for unforeseen structural breaks in the shock variances. It does not make the model deterministic. It simply allows you to have periods where bigger shocks are considered to be more likely.
4. That assumption is always subjective. After all, we don’t know which process generated the data.