The file sp500 d logret.txt contains the daily log retur
Question and Solution
The file sp500 d logret.txt contains the daily log returns on the S&P 500 index from January 3 1980 to June 28, 2007. (a
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The file sp500 d logret.txt contains the daily log returns on the S&P 500 index from January 3 1980 to June 28, 2007. (a) Fit an AR(1)-GARCH(1, 1) model with Gaussian innovations to the data, and give standard errors of the parameter estimates. (b) Compute k-days-ahead forecasts (k = 1, . . ., 5) of the log return and its volatility, using the fitted model and June 28, 2007 as the forecast origin.
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