Do Time Series Models fall under GLM? I have the following question: Can Time Series Models (e.g. ARMA, GARCH) be considered as GLM's?
For example, below is the standard form of a GLM:

At first glance, Time Series Models have some properties which make them seem different to standard GLM's - for instance, autocorrelation of errors.
But seeing as Time Series Models can be "written" in a similar style as some GLM's - does this make Time Series Models fall under the designation of GLM's?

I like @whuber's explanation to this:

One can use GLMs for time series analysis. However, ARMA models
formulate a very particular way in which observations may be related:
in particular, they involve additive terms that are unsuited for (and
cannot even be accommodated by) most GLMs. Where people have been
successful in combining the approaches they have supposed there is
some underlying ARMA (or ARIMA or whatever) model for an unobserved
process that describes the GLM link function. As such, neither ARMA
nor GLM can be viewed as "extensions" of each other, but both offer
useful techniques that can be combined.

However, it is provided as comment, hence the question is not closed.
