Build a constant-correlation volatility model for the three monthly log returns of the S&P composite index, IBM

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Build a constant-correlation volatility model for the three monthly log returns of the S&P composite index, IBM stock, and HPQ stock. Write down the fitted model. Is the model adequate?

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Analysis Of Financial Time Series

ISBN: 9780471690740

2nd Edition

Authors: Ruey S. Tsay

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Question Posted: Jun 10, 2024 02:05 AM

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Build a constant-correlation volatility model for the three monthly log returns of the S&P composite index, IBM

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Analysis Of Financial Time Series

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