Consider again the monthly log returns of KO stock. Multiple the log returns by 100 . That

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Consider again the monthly log returns of KO stock. Multiple the log returns by 100 . That is, use percentage log returns.

(a) Fit a TGARCH model to the series. Perform model checking and write down the fitted model. Is the level effect different from zero?

(b) Fit an NGARCH model to the series. Perform model checking and write down the fitted model.

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An Introduction To Analysis Of Financial Data With R

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Authors: Ruey S Tsay

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Consider again the monthly log returns of KO stock. Multiple the log returns by 100 . That

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An Introduction To Analysis Of Financial Data With R

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