The file sp500 m logret.txt contains the monthly log ret
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The file sp500 m logret.txt contains the monthly log returns on the S&P 500 index from the month of January 1950 to the
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The file sp500 m logret.txt contains the monthly log returns on the S&P 500 index from the month of January 1950 to the month of June 2007. (a) Fit the GARCH(1, 1) model (6.38), in which t are i.i.d. standard normal, to these data. Give standard errors of the estimated parameters. (b) Note that even though the sample period is the same as that in Exercise 6.8, a different timescale (months) is used here. Compare the results in (a) with those in Exercise 6.8(a), and discuss the implications.
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