Exercise 10.6 Consider the regime-switching model of Example 10.2.2. (a) What is distribution of the regimes for

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Exercise 10.6 Consider the regime-switching model of Example 10.2.2.

(a) What is distribution of the regimes for the next trading day, i.e., January 18th, 2011?

(b) Generate 100000 observations from the 1-day forecast density and compute a 95% confidence interval.

(c) On January 18th, 2011, the closing price of Apple was $340.65. Does it belong to the 5% confidence interval?

(d) Based on (c), compute the new distribution for the regimes.

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Statistical Methods For Financial Engineering

ISBN: 9781032477497

1st Edition

Authors: Bruno Remillard

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Question Posted: Oct 26, 2024 07:00 AM

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Exercise 10.6 Consider the regime-switching model of Example 10.2.2. (a) What is distribution of the regimes for

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Statistical Methods For Financial Engineering

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