The observed Intel monthly returns for 2004 (the first comparing January 2004 with December 2003) are (-0.047,-0.042,-0.069,-0.054,0.112,-0.033,-0.117),

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The observed Intel monthly returns for 2004 (the first comparing January 2004 with December 2003) are \(-0.047,-0.042,-0.069,-0.054,0.112,-0.033,-0.117\), \(-0.125,-0.058,0.109,0.007\), and 0.045. Compare the models in Example 6.11 in terms of their out-of-sample predictive performance for these future 12 observations.

Data from Example 6.11

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