5. Replicate the GARCH(1,1) estimation in Example 2, using daily returns from on IBM from January 1999

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5. Replicate the GARCH(1,1) estimation in Example 2, using daily returns from on IBM from January 1999 to December 2003. Compare your estimates with and without the four largest returns.

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Derivatives Markets Pearson New International Edition

ISBN: 978-1292021256

3rd Edition

Authors: Robert L. Mcdonald

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5. Replicate the GARCH(1,1) estimation in Example 2, using daily returns from on IBM from January 1999

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Derivatives Markets Pearson New International Edition

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