Construct the 1-step-ahead forecast. Because you have reserved some of your observations (prediction sample), evaluate how good

Question:

Construct the 1-step-ahead forecast. Because you have reserved some of your observations (prediction sample), evaluate how good the 1-step-ahead forecasts are by implementing a test of unconditional predictability. Construct several multistep forecasts and with a 95% confidence band. Discuss your results.